Heston stochastic vol-of-vol model for joint calibration of VIX and S\&P 500 options (Q4554477)
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scientific article; zbMATH DE number 6979508
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| English | Heston stochastic vol-of-vol model for joint calibration of VIX and S\&P 500 options |
scientific article; zbMATH DE number 6979508 |
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Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options (English)
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14 November 2018
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joint calibration
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volatility index
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Heston model
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multiscale modelling
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0.8479101657867432
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0.8159053921699524
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0.8137722611427307
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0.8113330602645874
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0.7998563647270203
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