Event Date Details:
Refreshments served at 3:15 p.m.
- Sobel Seminar Room; South Hall 5607F
- CFMAR Seminar Series
Title: Multiscale Stochastic Volatility Model For Joint Calibration Of S&P 500 And VIX Options
Abstract: We propose a generalization of the Heston model with multi-scale stochastic volatility-of-volatility. We then find integral representation similar to the quasi-closed formula of the Heston model to compute the first-order correction for the price of options on the underlying asset and of options on its volatility index. We consider a numerical example for S&P 500 and VIX options. Joint work with Jean-Pierre Fouque.