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The Joint S&P 500/VIX Smile Calibration Puzzle Solved · Study

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PreprintThe Joint S&P 500/VIX Smile Calibration Puzzle Solved

Julien Guyon2019

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Preprintgreen2019

The Joint S&P 500/VIX Smile Calibration Puzzle Solved

30 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

2016MODEL-INDEPENDENT BOUNDS FOR OPTION PRICES: A MASS TRANSPORT APPROACH 2014A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options 2018Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets 2011A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES 2013A regime-switching Heston model for VIX and S&P 500 implied volatilities 2014Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model 2019Computational methods for martingale optimal transport problems 2017Regime-switching stochastic volatility model: estimation and calibration to VIX options

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2020Inversion of convex ordering in the VIX market 2023From Constant to Rough: A Survey of Continuous Volatility Modeling

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2020Inversion of convex ordering in the VIX marketarticle · 12 shared references 2015Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problemarticle · 6 shared references 2023From Constant to Rough: A Survey of Continuous Volatility Modelingarticle · 5 shared references 2022Volatility Is (Mostly) Path-Dependentarticle · 4 shared references 2017Regime-switching stochastic volatility model: estimation and calibration to VIX optionsarticle · 3 shared references 2022Stability of martingale optimal transport and weak optimal transportarticle · 3 shared references

Details

Year2019

Typepreprint

Published2019-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations30

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.3397382

openalex_workW2955650736

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