Regime recovery using implied volatility in Markov modulated market model

DOI10.1002/asmb.2719MaRDI QIDQ6580773

Nadahalli Satish Sanjay, Irvine Homi Patalwala, Anindya Goswami, Kedar nath Mukherjee

Publication date: 29 July 2024

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

implied volatilityregime switching modelEuropean optionrecovery theorem

Mathematics Subject Classification ID

Statistics (62-XX)

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