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

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https://hal-univ-paris8.archives-ouvertes.fr/hal-02879356
Contributor : Haki Shtalbi <>
Submitted on : Tuesday, June 23, 2020 - 5:49:23 PM
Last modification on : Thursday, June 25, 2020 - 3:36:54 AM

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  • HAL Id : hal-02879356, version 1

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Stéphane Goutte, Amine Ismail, Huyen Pham. Regime-switching stochastic volatility model: estimation and calibration to VIX options. Applied Mathematical Finance, Taylor & Francis (Routledge): SSH Titles, 2017. ⟨hal-02879356⟩

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