"A general framework for a joint calibration of VIX and VXX options."

Martino Grasselli, Andrea Mazzoran, Andrea Pallavicini (2024)

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DOI: 10.1007/S10479-023-05205-9

access: closed

type: Journal Article

metadata version: 2024-05-31

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Martino Grasselli, Andrea Mazzoran, Andrea Pallavicini:
A general framework for a joint calibration of VIX and VXX options. Ann. Oper. Res. 336(1-2): 3-26 (2024)

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