Pages that link to "Item:Q4554477"
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The following pages link to Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options (Q4554477):
Displayed 17 items.
- Pricing options under simultaneous stochastic volatility and jumps: a simple closed-form formula without numerical/computational methods (Q2067122) (← links)
- Smiles \& smirks: volatility and leverage by jumps (Q2076900) (← links)
- Closed-form pricing formulas for variance swaps in the Heston model with stochastic long-run mean of variance (Q2167364) (← links)
- The correction of multiscale stochastic volatility to American put option: an asymptotic approximation and finite difference approach (Q2236410) (← links)
- Regime switching affine processes with applications to finance (Q2308173) (← links)
- Option pricing under the jump diffusion and multifactor stochastic processes (Q2631912) (← links)
- Pricing variance swaps under subordinated Jacobi stochastic volatility models (Q2669408) (← links)
- Variance swaps under multiscale stochastic volatility of volatility (Q2671216) (← links)
- Joint Modeling and Calibration of SPX and VIX by Optimal Transport (Q5019589) (← links)
- On Smile Properties of Volatility Derivatives: Understanding the VIX Skew (Q5029932) (← links)
- Tempered stable processes with time-varying exponential tails (Q5072913) (← links)
- Inversion of convex ordering in the VIX market (Q5139256) (← links)
- The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew (Q5872885) (← links)
- Volatility is (mostly) path-dependent (Q6053108) (← links)
- Weak approximations and VIX option price expansions in forward variance curve models (Q6053109) (← links)
- Consistent time‐homogeneous modeling of SPX and VIX derivatives (Q6054430) (← links)
- Dispersion-constrained martingale Schrödinger problems and the exact joint S\&P 500/VIX smile calibration puzzle (Q6181516) (← links)