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

The Chicago Board Options Exchange Volatility Index (VIX) is calculated from SPX options and derivatives of VIX are also traded in market, which leads to the so-called "consistent modeling" problem. This paper proposes a time-changed Lévy model for log price with a composite change of time...

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Veröffentlicht in:	arXiv.org 2024-08
Hauptverfasser:	Cheng, Liexin, Cheng, Xue, Peng, Xianhua
Format:	Artikel
Sprache:	eng
Schlagworte:	Calibration Characteristic functions Modelling Volatility
Online-Zugang:	Volltext
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