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q-fin.MF2022★ 1 cited
The quintic Ornstein-Uhlenbeck volatility model that jointly calibrates SPX & VIX smiles
Eduardo Abi Jaber, Camille Illand, Shaun +1
The quintic Ornstein-Uhlenbeck volatility model is a stochastic volatility model where the volatility process is a polynomial function of degree five of a single Ornstein-Uhlenbeck…
q-fin.MF2022★ 2 cited
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…