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"Joint Modeling and Calibration of SPX and VIX by Optimal Transport."

Ivan Guo et al. (2022)

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DOI: 10.1137/20M1375905

access: closed

type: Journal Article

metadata version: 2022-09-22

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  - https://dblp.org/rec/journals/siamfm/GuoLOW22
Ivan Guo, Grégoire Loeper, Jan Oblój, Shiyi Wang:
Joint Modeling and Calibration of SPX and VIX by Optimal Transport. SIAM J. Financial Math. 13(1): 1-31 (2022)

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