Regime-switching stochastic volatility model: estimation and calibration to VIX options-Reference-Cited by-同舟云学术

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Regime-switching stochastic volatility model: estimation and calibration to VIX options

Published:2017-01-02 Issue:1 Volume:24 Page:38-75
ISSN:1350-486X
Container-title:Applied Mathematical Finance
language:en
Short-container-title:Applied Mathematical Finance

Author:

Goutte Stéphane¹²,Ismail Amine³⁴,Pham Huyên³

Affiliation:

1. LED, Université Paris 8, Saint-Denis Cedex, France

2. Department of Applied Economics, PSB, Paris School of Business, Paris, France

3. LPMA, Université Paris Diderot Batiment Sophie Germain, Case 7012, Avenue de France, Paris Cedex, France

4. Natixis, Pierre-Mendes-France, Paris, France

Publisher

Informa UK Limited

Subject

Applied Mathematics,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/1350486X.2017.1333015

Reference39 articles.

1. Maximum likelihood estimation of stochastic volatility models

2. Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model

3. Time-varying leverage effects

4. Pricing VXX option with default risk and positive volatility skew

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