Pages that link to "Item:Q4610208"
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The following pages link to Regime-switching stochastic volatility model: estimation and calibration to VIX options (Q4610208):
Displayed 18 items.
- A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model (Q1998282) (← links)
- Forward price and fitting of electricity Nord Pool market under regime-switching two-factor model (Q2037761) (← links)
- Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data (Q4994351) (← links)
- Joint Modeling and Calibration of SPX and VIX by Optimal Transport (Q5019589) (← links)
- On Smile Properties of Volatility Derivatives: Understanding the VIX Skew (Q5029932) (← links)
- An MCMC computational approach for a continuous time state-dependent regime switching diffusion process (Q5037074) (← links)
- THE VIX AND FUTURE INFORMATION (Q5061494) (← links)
- Structural Clustering of Volatility Regimes for Dynamic Trading Strategies (Q5075241) (← links)
- A generalized Esscher transform for option valuation with regime switching risk (Q5079361) (← links)
- A unified option pricing model with Markov regime-switching double stochastic volatility, stochastic interest rate and jumps (Q5093699) (← links)
- Inversion of convex ordering in the VIX market (Q5139256) (← links)
- The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew (Q5872885) (← links)
- Weak approximations and VIX option price expansions in forward variance curve models (Q6053109) (← links)
- Option pricing under stochastic volatility models with latent volatility (Q6053121) (← links)
- Implied higher order moments in the Heston model: a case study of S\&P500 index (Q6089406) (← links)
- Valuation of option price in commodity markets described by a Markov-switching model: a case study of WTI crude oil market (Q6089610) (← links)
- Dispersion-constrained martingale Schrödinger problems and the exact joint S\&P 500/VIX smile calibration puzzle (Q6181516) (← links)
- VIX MODELING FOR A MARKET INSIDER (Q6182054) (← links)