Detecting stock market regimes from option prices
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Publication:2157892
DOI10.1016/j.orl.2022.02.006OpenAlexW4212909256MaRDI QIDQ2157892
Publication date: 22 July 2022
Published in: Operations Research Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.orl.2022.02.006
Cites Work
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- Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models
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- Non-linear equity portfolio variance reduction under a mean-variance framework -- a delta-gamma approach
- What is the Expected Return on the Market?*
- DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING
- PRICING AND SEMIMARTINGALE REPRESENTATIONS OF VULNERABLE CONTINGENT CLAIMS IN REGIME‐SWITCHING MARKETS
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