A general framework for a joint calibration of VIX and VXX options
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DOI: 10.1007/s10479-023-05205-9
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- Martino Grasselli & Andrea Mazzoran & Andrea Pallavicini, 2020. "A general framework for a joint calibration of VIX and VXX options," Papers 2012.08353, arXiv.org, revised Jun 2021.
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Keywords
Local volatility; Local correlation; Stochastic volatility; Futures strategies; VIX; VXX;All these keywords.
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