Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets (Q5041663)
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scientific article; zbMATH DE number 7601791
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| English | Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets |
scientific article; zbMATH DE number 7601791 |
Statements
Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets (English)
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14 October 2022
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rough volatility
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multifactor volatility
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calibration
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SPX options
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VIX options
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0.89315796
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0.8864349
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0.8784739
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