Regime-switching stochastic volatility model : estimation and calibration to VIX options
Stéphane Goutte, Amine Ismail and Huyên Pham
| 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
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| 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 | Optionsgeschäft | Option trading | Algorithmus | Algorithm | Markov-Kette | Markov chain | Index-Futures | Index futures | Schätzung | Estimation | Aktienindex | Stock index |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1350486X.2017.1333015 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011746993