Regime switching volatility calibration by the Baum-Welch method (Q989132): Difference between revisions

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Property / DOI: 10.1016/j.cam.2010.04.022 / rank
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Property / arXiv ID: 0904.1500 / rank
 
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Latest revision as of 11:50, 10 December 2024

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Regime switching volatility calibration by the Baum-Welch method
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    Regime switching volatility calibration by the Baum-Welch method (English)
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    27 August 2010
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    regime switching
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    stochastic volatility
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    calibration
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    Hamilton filter
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    Baum-Welch
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