Regime-switching stochastic volatility model: estimation and calibration to VIX options (Q4610208)
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scientific article; zbMATH DE number 6856761
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Regime-switching stochastic volatility model: estimation and calibration to VIX options |
scientific article; zbMATH DE number 6856761 |
Statements
Regime-switching stochastic volatility model: estimation and calibration to VIX options (English)
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6 April 2018
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regime-switching model
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stochastic volatility
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implied volatility
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EM algorithm
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VIX index
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options
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Baum-Welch algorithm
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