Pages that link to "Item:Q1655569"
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The following pages link to How should a local regime-switching model be calibrated? (Q1655569):
Displaying 15 items.
- Optimal execution with regime-switching market resilience (Q1734569) (← links)
- A closed-form pricing formula for European options under a new three-factor stochastic volatility model with regime switching (Q2111571) (← links)
- Pricing variance and volatility swaps with stochastic volatility, stochastic interest rate and regime switching (Q2164576) (← links)
- A spectral element method for option pricing under regime-switching with jumps (Q2189667) (← links)
- A new integral equation approach for pricing American-style barrier options with rebates (Q2199770) (← links)
- A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate (Q2202993) (← links)
- A regime switching fractional Black-Scholes model and European option pricing (Q2204497) (← links)
- Fitted finite volume method for indifference pricing in an exponential utility regime-switching model (Q2223806) (← links)
- COS method for option pricing under a regime-switching model with time-changed Lévy processes (Q4554448) (← links)
- Time-Consistent Mean-Variance Pairs-Trading Under Regime-Switching Cointegration (Q4971976) (← links)
- Continuous time mean–variance–utility portfolio problem and its equilibrium strategy (Q5057975) (← links)
- A generalized Esscher transform for option valuation with regime switching risk (Q5079361) (← links)
- Existence of a calibrated regime switching local volatility model (Q5109975) (← links)
- VARIANCE AND VOLATILITY SWAPS UNDER A TWO-FACTOR STOCHASTIC VOLATILITY MODEL WITH REGIME SWITCHING (Q5384677) (← links)
- An integral equation approach for pricing American put options under regime-switching model (Q6176012) (← links)
