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

Stéphane Goutte, Amine Ismail () and Huyen Pham ()
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Amine Ismail: LPMA - Laboratoire de Probabilités et Modèles Aléatoires - UPMC - Université Pierre et Marie Curie - Paris 6 - UPD7 - Université Paris Diderot - Paris 7 - CNRS - Centre National de la Recherche Scientifique
Huyen Pham: LPMA - Laboratoire de Probabilités et Modèles Aléatoires - UPMC - Université Pierre et Marie Curie - Paris 6 - UPD7 - Université Paris Diderot - Paris 7 - CNRS - Centre National de la Recherche Scientifique

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Date: 2017
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Published in Applied Mathematical Finance, 2017

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Related works:
Journal Article: Regime-switching stochastic volatility model: estimation and calibration to VIX options (2017)
Working Paper: Regime-switching Stochastic Volatility Model: Estimation and Calibration to VIX options (2017)
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