Work

Joint SPX & VIX calibration with Gaussian polynomial volatility models: Deep pricing with quantization hints

Year: 2024

Type: article

Source: Mathematical Finance

DOI: 10.1111/mafi.12451

Authors: Eduardo Abi Jaber, Camille Illand, Shaun (Xiaoyuan) Li

Institutions: École Polytechnique, Centre de Mathématiques Appliquées de l'École polytechnique, AXA (France), Université Paris 1 Panthéon-Sorbonne

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W4404552186

FWCI: 2.506

Cites: 62

Cited by: 7

Related to: 10