Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options

Bibliographic Details
Published in:Quantitative finance, 18(2018), 6 Juni, Seite 1003-1016
Main Author: Fouque, Jean-Pierre (Author)
Other Involved Persons: Saporito, Y. F.
Format: Article
Language:English
Published: June 2018
ISSN:1469-7688
DOI:10.1080/14697688.2017.1412493
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