Pages that link to "Item:Q5247236"
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The following pages link to A regime-switching Heston model for VIX and S&P 500 implied volatilities (Q5247236):
Displayed 18 items.
- A tale of two option markets: pricing kernels and volatility risk (Q894646) (← links)
- Chebyshev reduced basis function applied to option valuation (Q1789629) (← links)
- PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING (Q2947343) (← links)
- Solvable Diffusion Models with Linear and Mean-Reverting Nonlinear Drifts (Q2962134) (← links)
- Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options (Q4554477) (← links)
- Double-jump diffusion model for VIX: evidence from VVIX (Q4555075) (← links)
- HARA utility maximization in a Markov-switching bond–stock market (Q4555174) (← links)
- Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options (Q4579824) (← 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)
- Joint Modeling and Calibration of SPX and VIX by Optimal Transport (Q5019589) (← links)
- Volatility dynamics under an endogenous Markov-switching framework: a cross-market approach (Q5026537) (← links)
- On Smile Properties of Volatility Derivatives: Understanding the VIX Skew (Q5029932) (← links)
- Structural Clustering of Volatility Regimes for Dynamic Trading Strategies (Q5075241) (← 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)
- Consistent time‐homogeneous modeling of SPX and VIX derivatives (Q6054430) (← links)
