Regime-switching stochastic volatility model : estimation and calibration to VIX options
Year of publication: |
March-April 2017
|
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Authors: | Goutte, Stéphane ; Ismail, Amine ; Pham, Huyên |
Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 24.2017, 1/2, p. 38-75
|
Subject: | Regime-switching model | stochastic volatility | implied volatility | EM algorithm | VIX index | options | Baum-Welch algorithm | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain | Schätzung | Estimation | Optionsgeschäft | Option trading | Index-Futures | Index futures | Prognoseverfahren | Forecasting model |
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