most citedThe contact geometry of the spatial circular restricted 3-body problem

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q-fin.MF2019

Consistent and Efficient Pricing of SPX and VIX Options under Multiscale Stochastic Volatility

Jaegi Jeon, Geonwoo Kim, Jeonggyu Huh

This study provides a consistent and efficient pricing method for both Standard & Poor's 500 Index (SPX) options and the Chicago Board Options Exchange's Volatility Index (VIX) opt…