On Randomization of Affine Diffusion Processes with Application to Pricing of Options on VIX and S&P 500
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- Lech A. Grzelak, 2022. "Randomization of Short-Rate Models, Analytic Pricing and Flexibility in Controlling Implied Volatilities," Papers 2211.05014, arXiv.org, revised Nov 2024.
- Eduardo Abi Jaber & Camille Illand & Shaun Xiaoyuan Li, 2022. "Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints," Working Papers hal-03902513, HAL.
- Wolf, Felix L. & Deelstra, Griselda & Grzelak, Lech A., 2024. "Consistent asset modelling with random coefficients and switches between regimes," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 223(C), pages 65-85.
- Eduardo Abi Jaber & Camille Illand & Shaun Xiaoyuan Li, 2023. "The quintic Ornstein-Uhlenbeck volatility model that jointly calibrates SPX & VIX smiles," Post-Print hal-03909334, HAL.
- Eduardo Abi Jaber & Camille Illand & Shaun & Li, 2022. "Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints," Papers 2212.08297, arXiv.org, revised Dec 2024.
- Eduardo Abi Jaber & Camille Illand & Shaun & Li, 2022. "The quintic Ornstein-Uhlenbeck volatility model that jointly calibrates SPX & VIX smiles," Papers 2212.10917, arXiv.org, revised May 2023.
- Christa Cuchiero & Guido Gazzani & Janka Moller & Sara Svaluto-Ferro, 2023. "Joint calibration to SPX and VIX options with signature-based models," Papers 2301.13235, arXiv.org, revised Jul 2024.
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This paper has been announced in the following NEP Reports:- NEP-RMG-2022-09-26 (Risk Management)
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