Pages that link to "Item:Q2871434"
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The following pages link to Fast Ninomiya–Victoir calibration of the double-mean-reverting model (Q2871434):
Displaying 13 items.
- A scaled version of the double-mean-reverting model for VIX derivatives (Q1670389) (← links)
- Analytic solutions for variance swaps with double-mean-reverting volatility (Q2000317) (← links)
- Closed-form pricing formulas for variance swaps in the Heston model with stochastic long-run mean of variance (Q2167364) (← links)
- STATISTICS OF VIX FUTURES AND APPLICATIONS TO TRADING VOLATILITY EXCHANGE-TRADED PRODUCTS (Q3121229) (← links)
- Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options (Q4579824) (← links)
- Dirichlet Forms and Finite Element Methods for the SABR Model (Q4579839) (← links)
- Analysis of VIX Markets with a Time-Spread Portfolio (Q4585683) (← links)
- Regime-switching stochastic volatility model: estimation and calibration to VIX options (Q4610208) (← links)
- A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing (Q4957242) (← links)
- A closed-form approximation formula for pricing European options under a three-factor model (Q5051203) (← links)
- Volatility Options in Rough Volatility Models (Q5112731) (← links)
- Consistent time‐homogeneous modeling of SPX and VIX derivatives (Q6054430) (← links)
- Implied higher order moments in the Heston model: a case study of S\&P500 index (Q6089406) (← links)
