Consistent Time-Homogeneous Modeling of SPX and VIX Derivatives
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"Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model,"
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- Jan Baldeaux & Alexander Badran, 2012. "Consistent Modeling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model," Papers 1203.5903, arXiv.org, revised Aug 2012.
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Cited by:
- Alessandro Bondi & Sergio Pulido & Simone Scotti, 2022. "The rough Hawkes Heston stochastic volatility model," Working Papers hal-03827332, HAL.
- Ying-Li Wang & Cheng-Long Xu & Ping He, 2023. "A Markovian empirical model for the VIX index and the pricing of the corresponding derivatives," Papers 2309.08175, arXiv.org.
- Liexin Cheng & Xue Cheng & Xianhua Peng, 2024. "Joint Calibration to SPX and VIX Derivative Markets with Composite Change of Time Models," Papers 2404.16295, arXiv.org, revised Aug 2024.
- Alessandro Bondi & Sergio Pulido & Simone Scotti, 2022. "The rough Hawkes Heston stochastic volatility model," Papers 2210.12393, arXiv.org.
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