Joint calibration of S&P 500 and VIX options under local stochastic volatility models
Author:
Affiliation:
1. School of Mathematics and Finance Xiangnan University Chenzhou People's Republic of China
2. Department of Mathematics Toronto Metropolitan University Toronto Ontario Canada
Funder
National Natural Science Foundation of China
Natural Sciences and Engineering Research Council of Canada
Publisher
Wiley
Subject
Economics and Econometrics,Finance,Accounting
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1002/ijfe.2686
Reference41 articles.
1. The free boundary SABR: Natural extension to negative rates;Antonov A.;SSRN,2015
2. Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model
3. Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets
4. Fast Ninomiya–Victoir calibration of the double-mean-reverting model
5. Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices
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1. Joint calibration of VIX and VXX options: does volatility clustering matter?;The European Journal of Finance;2023-12-30
2. Option Pricing by Willow Tree Method for Generalized Hyperbolic Lévy Processes;Journal of Mathematics;2023-10-17
3. Evaluating credit valuation adjustment with wrong-way risk for Bermudan options;Journal of Computational Finance;2023
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