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

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2600714776
@@ Property / OpenAlex ID: W2600714776 / rank @@
+Normal rank
@@ Property / cites work @@
+Post-'87 crash fears in the S\&P 500 futures option market
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+The inverse problem of option pricing
@@ Property / cites work: The inverse problem of option pricing / rank @@
+Normal rank
@@ Property / cites work @@
+AMERICAN OPTIONS WITH REGIME SWITCHING
@@ Property / cites work: AMERICAN OPTIONS WITH REGIME SWITCHING / rank @@
+Normal rank
@@ Property / cites work @@
+Alternative models for stock price dynamics.
@@ Property / cites work: Alternative models for stock price dynamics. / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing under hybrid stochastic and local volatility
+Normal rank
@@ Property / cites work @@
+Calibration of the Local Volatility in a Generalized Black--Scholes Model Using Tikhonov Regularization
+Normal rank
@@ Property / cites work @@
+Calibration of stochastic volatility models: a Tikhonov regularization approach
+Normal rank
@@ Property / cites work @@
+Convex regularization of local volatility models from option prices: convergence analysis and rates
+Normal rank
@@ Property / cites work @@
+Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates
+Normal rank
@@ Property / cites work @@
+A DUPIRE EQUATION FOR A REGIME-SWITCHING MODEL
@@ Property / cites work: A DUPIRE EQUATION FOR A REGIME-SWITCHING MODEL / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
+Normal rank
@@ Property / cites work @@
+The dynamics of implied volatilities: a common principal components approach
+Normal rank
@@ Property / cites work @@
+A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
+Normal rank
@@ Property / cites work @@
+Analysis of time series subject to changes in regime
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+On Maximum Entropy Regularization for a Specific Inverse Problem of Option Pricing
+Normal rank
@@ Property / cites work @@
+Efficient estimation of Markov regime-switching models: an application to electricity spot prices
+Normal rank
@@ Property / cites work @@
+A new well-posed algorithm to recover implied local volatility
+Normal rank
@@ Property / cites work @@
+Regime switching volatility calibration by the Baum-Welch method
+Normal rank
@@ Property / cites work @@
+Martingale methods in financial modelling.
@@ Property / cites work: Martingale methods in financial modelling. / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods
+Normal rank
@@ Property / cites work @@
+Pricing currency options under two-factor Markov-modulated stochastic volatility models
+Normal rank
@@ Property / cites work @@
+THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION
+Normal rank
@@ Property / cites work @@
+Q4850052
@@ Property / cites work: Q4850052 / rank @@
+Normal rank
@@ Property / cites work @@
+Computational Methods for Inverse Problems
@@ Property / cites work: Computational Methods for Inverse Problems / rank @@
+Normal rank
@@ Property / cites work @@
+A new exact solution for pricing European options in a two-state regime-switching economy
+Normal rank