Regime switching volatility calibration by the Baum-Welch method
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Publication:989132
DOI10.1016/J.CAM.2010.04.022zbMath1193.91176arXiv0904.1500OpenAlexW2047209971MaRDI QIDQ989132
Publication date: 27 August 2010
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0904.1500
Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
Related Items (5)
How should a local regime-switching model be calibrated? ⋮ An integral equation approach for pricing American put options under regime-switching model ⋮ Regime-switching stochastic volatility model: estimation and calibration to VIX options ⋮ Firm value and the impact of operational management ⋮ Pricing and risk management of interest rate swaps
Uses Software
Cites Work
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