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20222025
most citedJoint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints

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q-fin.MF2025

Capturing Smile Dynamics with the Quintic Volatility Model: SPX, Skew-Stickiness Ratio and VIX

Eduardo Abi Jaber, Shaun, Li

We introduce the two-factor Quintic Ornstein-Uhlenbeck (OU) model, where volatility is modelled as a degree-five polynomial of the sum of two Ornstein-Uhlenbeck processes driven by…