MARKOVIAN STOCHASTIC VOLATILITY WITH STOCHASTIC CORRELATION — JOINT CALIBRATION AND CONSISTENCY OF SPX/VIX SHORT-MATURITY SMILES (Q6095476)
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scientific article; zbMATH DE number 7735465
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| English | MARKOVIAN STOCHASTIC VOLATILITY WITH STOCHASTIC CORRELATION — JOINT CALIBRATION AND CONSISTENCY OF SPX/VIX SHORT-MATURITY SMILES |
scientific article; zbMATH DE number 7735465 |
Statements
MARKOVIAN STOCHASTIC VOLATILITY WITH STOCHASTIC CORRELATION — JOINT CALIBRATION AND CONSISTENCY OF SPX/VIX SHORT-MATURITY SMILES (English)
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8 September 2023
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Markov models
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stochastic volatility
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small-time smile asymptotics
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Freidlin-Wentzell theory
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large deviations
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geodesics
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0.8818632
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0.87346375
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0.87255037
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0.87017316
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0.86387885
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0.86383843
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0.8626325
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