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

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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)
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    6 April 2018
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    regime-switching model
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    stochastic volatility
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    implied volatility
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    EM algorithm
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    VIX index
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    options
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    Baum-Welch algorithm
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