A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES

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Subfields: Finance

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The Quadratic Rough Heston Model and the Joint S&P 500/VIX Smile Calibration Problem (2020, background): “Nevertheless, probably besides those in [8] and [31], existing models with jumps do not really achieve a satisfying accuracy for the joint calibration problem.”
A regime-switching Heston model for VIX and S&P 500 implied volatilities (2014, methodology): “This is the market model approach taken in Cont and Kokholm (2013).”
Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options (2017, background): “There are a few models proposed to solve this calibration issue (see, for instance, Papanicolaou and Sircar 2013; Cont and Kokholm 2013; Baldeaux and Badran 2014; Carr and Madan 2014; Pacati et al. 2015).”
Regime-switching stochastic volatility model: estimation and calibration to VIX options (2017, background): “In a recent work, Cont and Kokholm [13] combine both approaches incorporating jumps features in the forward variance process and the underlying process while offering more tractability than the Bergomi [11] model.”