most citedA Review of Volatility and Option Pricing

8 citations · 12 across the 6 of their papers we have counts for

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q-fin.ST2009

Regime Switching Volatility Calibration by the Baum-Welch Method

Sovan Mitra

Regime switching volatility models provide a tractable method of modelling stochastic volatility. Currently the most popular method of regime switching calibration is the Hamilton…