How should a local regime-switching model be calibrated? (Q1655569): Difference between revisions

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+Post-'87 crash fears in the S\&P 500 futures option market
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+The Pricing of Options and Corporate Liabilities
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+The inverse problem of option pricing
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+AMERICAN OPTIONS WITH REGIME SWITCHING
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+Alternative models for stock price dynamics.
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+Option pricing under hybrid stochastic and local volatility
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+Calibration of the Local Volatility in a Generalized Black--Scholes Model Using Tikhonov Regularization
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+Calibration of stochastic volatility models: a Tikhonov regularization approach
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+Convex regularization of local volatility models from option prices: convergence analysis and rates
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+Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates
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+A DUPIRE EQUATION FOR A REGIME-SWITCHING MODEL
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+Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
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+The dynamics of implied volatilities: a common principal components approach
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+A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
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+Analysis of time series subject to changes in regime
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+On Maximum Entropy Regularization for a Specific Inverse Problem of Option Pricing
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+Efficient estimation of Markov regime-switching models: an application to electricity spot prices
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+A new well-posed algorithm to recover implied local volatility
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+Regime switching volatility calibration by the Baum-Welch method
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+Martingale methods in financial modelling.
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+Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods
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+Pricing currency options under two-factor Markov-modulated stochastic volatility models
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+THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION
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+Q4850052
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+Computational Methods for Inverse Problems
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+A new exact solution for pricing European options in a two-state regime-switching economy
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