On full calibration of hybrid local volatility and regime‐switching models
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DOI: 10.1002/fut.21901
Abstract: Calibrating local regime†switching models is a challenging problem, especially when the volatility functions are assumed to depend on both of the underlying price and time. In this paper, the inverse problem of determining local… read more here.
Keywords: regime switching; volatility; switching models; local volatility ... See more keywords