A general framework for a joint calibration of VIX and VXX options
Crossref DOI link: https://doi.org/10.1007/s10479-023-05205-9
Published Online: 2023-02-04
Published Print: 2024-05
Update policy: https://doi.org/10.1007/springer_crossmark_policy
Grasselli, Martino https://orcid.org/0000-0002-9301-2451
Mazzoran, Andrea
Pallavicini, Andrea https://orcid.org/0000-0002-4927-9597
Text and Data Mining valid from 2023-02-04
Version of Record valid from 2023-02-04
Article History
Accepted: 16 January 2023
First Online: 4 February 2023