Heston Stochastic Vol-of-Vol Model for Joint Calibration of VIX and S&P 500 Options
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- J.-P. Fouque & Y. F. Saporito, 2018. "Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options," Quantitative Finance, Taylor & Francis Journals, vol. 18(6), pages 1003-1016, June.
References listed on IDEAS
- Jan Baldeaux & Alexander Badran, 2014.
"Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model,"
Applied Mathematical Finance,
Taylor & Francis Journals, vol. 21(4), pages 299-312, September.
- 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.
- Jan Baldeaux & Alexander Badran, 2012. "Consistent Modeling of VIX and Equity Derivatives Using a 3/2 Plus Jumps Model," Research Paper Series 306, Quantitative Finance Research Centre, University of Technology, Sydney.
- repec:cup:cbooks:9780521843584 is not listed on IDEAS
- Jean-Pierre Fouque & George Papanicolaou & Ronnie Sircar & Knut Solna, 2004. "Maturity cycles in implied volatility," Finance and Stochastics, Springer, vol. 8(4), pages 451-477, November.
- repec:wsi:ijtafx:v:17:y:2014:i:07:n:s0219024914500435 is not listed on IDEAS
- Han, Chuan-Hsiang & Molina, German & Fouque, Jean-Pierre, 2014. "McMC estimation of multiscale stochastic volatility models with applications," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 103(C), pages 1-11.
- Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-343.
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