Joint calibration to SPX and VIX options with signature-based models (Q6424899)

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scientific article; zbMATH DE number 900578197
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English
Joint calibration to SPX and VIX options with signature-based models
scientific article; zbMATH DE number 900578197

    Statements

    publication date
    30 January 2023
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    arXiv classification
    q-fin.MF
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    math.PR
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    author
    Christa Cuchiero
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    Q6048448
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    Janka Möller
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    Sara Svaluto-Ferro
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    Identifiers

    arXiv ID
    2301.13235
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    Mathematics Subject Classification ID
    91B70
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    62P05
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    65C20
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