Regime recovery using implied volatility in Markov modulated market model

DOI10.1002/ASMB.2719MaRDI QIDQ6580773FDOQ6580773

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

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

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