Regime recovery using implied volatility in Markov modulated market model

DOI10.1002/ASMB.2719MaRDI QIDQ6580773zbMATH OpenFDO

Authors Anindya Goswami, Kedar nath Mukherjee, Irvine Homi Patalwala, Nadahalli Satish Sanjay

Publication date 29 July 2024

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

regime switching modelEuropean optionimplied volatilityrecovery theorem

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A risk-based approach for pricing American options under a generalized Markov regime-switching model
• A system of non-local parabolic PDE and application to option pricing
• Explicit solutions to European options in a regime-switching economy
• Option Pricing With Markov-Modulated Dynamics
• Option pricing under regime switching
• Pricing currency options under two-factor Markov-modulated stochastic volatility models
• Pricing derivatives in a regime switching market with time inhomogenous volatility
• Risk Minimizing Option Pricing for a Class of Exotic Options in a Markov-Modulated Market
• Risk Minimizing Option Pricing in a Regime Switching Market
• Risk-minimizing option pricing under a Markov-modulated jump-diffusion model with stochastic volatility
• Stylised facts of financial time series and hidden Markov models in continuous time
• The pricing of options and corporate liabilities

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