On the Joint Calibration of SPX and VIX Options


Since VIX options started trading in 2006, many researchers have attempted to build a model for the SPX that jointly calibrates to SPX and VIX options. Many have argued that jumps in the SPX were needed. Does there exist a... [ view full abstract ]


  1. Julien Guyon (Bloomberg LP)

Topic Areas

Calibration , Optimal Transport , Stochastic Volatility


TH-A-BU » Calibrating Stochastic Volatility Models (11:30 - Thursday, 19th July, Burke Theater)

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