Joint calibration to SPX and VIX options with signature-based models
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Publication:6424899
arXiv2301.13235MaRDI QIDQ6424899
Christa Cuchiero, Janka Möller, Unnamed Author, Sara Svaluto-Ferro
Publication date: 30 January 2023
Applications of statistics to actuarial sciences and financial mathematics (62P05) Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic models in economics (91B70)
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