collaborators

1 paper

q-fin.MF2024

Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints

Eduardo Abi Jaber, Camille Illand, Shaun +1

We consider the joint SPX-VIX calibration within a general class of Gaussian polynomial volatility models in which the volatility of the SPX is assumed to be a polynomial function…