The Joint S&P 500/VIX Smile Calibration Puzzle Solved
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Elsevier BV
Reference40 articles.
1. Inversion of convex ordering: Local volatility does not maximize the price of VIX futures;B Acciaio;SIAM J. Finan. Math,2020
2. Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model;J Baldeaux;Appl. Math. Finance,2014
3. Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets;C Bardgett;Journ. Financial Economics,2019
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5. Smile Dynamics III
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1. Dispersion-constrained martingale Schrödinger problems and the exact joint S&P 500/VIX smile calibration puzzle;Finance and Stochastics;2023-11-17
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3. A general framework for a joint calibration of VIX and VXX options;Annals of Operations Research;2023-02-04
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5. Joint calibration of S&P 500 and VIX options under local stochastic volatility models;International Journal of Finance & Economics;2022-08-23
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