A general framework for a joint calibration of VIX and VXX options (Q6549588)
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scientific article; zbMATH DE number 7859333
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| English | A general framework for a joint calibration of VIX and VXX options |
scientific article; zbMATH DE number 7859333 |
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A general framework for a joint calibration of VIX and VXX options (English)
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4 June 2024
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local volatility
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local correlation
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stochastic volatility
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futures strategies
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VIX
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VXX
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0.8628677725791931
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0.8178389072418213
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0.7951687574386597
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0.7942619323730469
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0.7931113243103027
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