Regime-switching stochastic volatility model: estimation and calibration to VIX options (Q4610208): Difference between revisions

From MaRDI portal
Import240304020342 (talk | contribs)
Set profile property.
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Estimating the degree of activity of jumps in high frequency data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Time-varying leverage effects / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing VXX option with default risk and positive volatility skew / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing under rough volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fast Ninomiya–Victoir calibration of the double-mean-reverting model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Consistent variance curve models / rank
 
Normal rank
Property / cites work
 
Property / cites work: A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES / rank
 
Normal rank
Property / cites work
 
Property / cites work: Regime switching volatility calibration by the Baum-Welch method / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4139463 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Options on realized variance by transform methods: a non-affine stochastic volatility model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q2803996 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching / rank
 
Normal rank
Property / cites work
 
Property / cites work: Convergence of the Monte Carlo expectation maximization for curved exponential families. / rank
 
Normal rank
Property / cites work
 
Property / cites work: DEFAULTABLE BOND PRICING USING REGIME SWITCHING INTENSITY MODEL / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options / rank
 
Normal rank
Property / cites work
 
Property / cites work: Neglecting parameter changes in GARCH models / rank
 
Normal rank
Property / cites work
 
Property / cites work: The dynamics of stochastic volatility: evidence from underlying and options markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: Martingale methods in financial modelling. / rank
 
Normal rank
Property / cites work
 
Property / cites work: A regime-switching Heston model for VIX and S&P 500 implied volatilities / rank
 
Normal rank
Property / cites work
 
Property / cites work: OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option pricing with mean reversion and stochastic volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fast swaption pricing under the market model with a square-root volatility process / rank
 
Normal rank

Latest revision as of 09:50, 15 July 2024

scientific article; zbMATH DE number 6856761
Language Label Description Also known as
English
Regime-switching stochastic volatility model: estimation and calibration to VIX options
scientific article; zbMATH DE number 6856761

    Statements

    Regime-switching stochastic volatility model: estimation and calibration to VIX options (English)
    0 references
    0 references
    0 references
    0 references
    6 April 2018
    0 references
    regime-switching model
    0 references
    stochastic volatility
    0 references
    implied volatility
    0 references
    EM algorithm
    0 references
    VIX index
    0 references
    options
    0 references
    Baum-Welch algorithm
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references