Neural Joint S&P 500/VIX Smile Calibration

Julien Guyon () and Scander Mustapha
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Julien Guyon: CERMICS - Centre d'Enseignement et de Recherche en Mathématiques et Calcul Scientifique - ENPC - École nationale des ponts et chaussées, MATHRISK - Mathematical Risk Handling - UPEM - Université Paris-Est Marne-la-Vallée - ENPC - École nationale des ponts et chaussées - Centre Inria de Paris - Inria - Institut National de Recherche en Informatique et en Automatique, Bloomberg L.P.
Scander Mustapha: Princeton University

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Date: 2023-12-01
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Published in Risk, 2023, ⟨10.2139/ssrn.4309576⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03932780

DOI: 10.2139/ssrn.4309576

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