Joint calibration to SPX and VIX options with signature-based models (Q6667578)
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scientific article; zbMATH DE number 7971594
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| English | Joint calibration to SPX and VIX options with signature-based models |
scientific article; zbMATH DE number 7971594 |
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Joint calibration to SPX and VIX options with signature-based models (English)
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20 January 2025
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affine and polynomial processes
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calibration of financial models
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signature methods
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S\&P 500/VIX joint calibration
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0.8122453093528748
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0.801271915435791
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0.7989656925201416
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