Joint calibration to SPX and VIX Derivative Markets with Composite Change of Time Models

By Liexin Cheng, Xue Cheng, Xianhua Peng

Published 2024-04-25

Everscope rating

1704.7

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Composite Time Change Models. Problem types: Option Pricing, Volatility Modeling, Joint Calibration.

arXiv:2404.16295 · Paper rankings

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