Joint SPX–VIX calibration with Gaussian polynomial volatility models
收藏DataCite Commons2024-12-16 更新2025-04-16 收录
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https://service.tib.eu/ldmservice/dataset/8ba6b43e-7eb1-417a-ab51-0efbbaf6cc6c
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资源简介：
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 process with fast mean reversion and large vol-of-vol.
提供机构：
TIB
创建时间：
2024-12-16
