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1 Ergebnisse
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The Joint S&P 500/VIX Smile Calibration Puzzle Solved:
Guyon, Julien
Risk, April 2020. , 2019
Link:
https://ssrn.com/abstract=3397382
RT Journal T1
The Joint S&P 500/VIX Smile Calibration Puzzle Solved
UL https://suche.suub.uni-bremen.de/peid=ssrn-3397382&Exemplar=1&LAN=DE A1 Guyon, Julien YR 2019 K1 Derivatives K1 smile calibration K1 S&P 500 K1 VIX K1 joint calibration K1 dispersion-constrained martingale optimal transport K1 duality K1 Sinkhorn algorithm K1 arbitrage K1 volatility derivatives JF Risk, April 2020 LK http://dx.doi.org/https://ssrn.com/abstract=3397382 DO https://ssrn.com/abstract=3397382 SF ELIB - SuUB Bremen
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