scholarly journals Existence of a Calibrated Regime Switching Local Volatility Model and New Fake Brownian Motions

2017 ◽  
Author(s):  
Benjamin Jourdain ◽  
Alexandre Zhou
Keyword(s):  
Regime Switching ◽  
Brownian Motions ◽  
Local Volatility ◽  
Local Volatility Model ◽  
Volatility Model

scholarly journals Stable reconstruction of the volatility in a regime-switching local-volatility model

2020 ◽  
Vol 10 (1) ◽  
pp. 189-215
Author(s):  
Mourad Bellassoued ◽  
◽  
Raymond Brummelhuis ◽  
Michel Cristofol ◽  
Éric Soccorsi ◽  
...  
Keyword(s):  
Regime Switching ◽  
Local Volatility ◽  
Local Volatility Model ◽  
Volatility Model ◽  
Stable Reconstruction

Existence of a calibrated regime switching local volatility model

2020 ◽  
Vol 30 (2) ◽  
pp. 501-546 ◽  
Author(s):  
Benjamin Jourdain ◽  
Alexandre Zhou
Keyword(s):  
Regime Switching ◽  
Local Volatility ◽  
Local Volatility Model ◽  
Volatility Model

A DUPIRE EQUATION FOR A REGIME-SWITCHING MODEL

2015 ◽  
Vol 18 (04) ◽  
pp. 1550023 ◽  
Author(s):  
ROBERT J. ELLIOTT ◽  
LEUNGLUNG CHAN ◽  
TAK KUEN SIU
Keyword(s):  
Regime Switching ◽  
Price Dynamics ◽  
Local Volatility ◽  
Risky Assets ◽  
Regime Switching Model ◽  
Switching Model ◽  
Forward Equation ◽  
Local Volatility Model ◽  
Volatility Model ◽  
Forward Equations

A forward equation, which is also called the Dupire formula, is obtained for European call options when the price dynamics of the underlying risky assets are assumed to follow a regime-switching local volatility model. Using a regime-switching version of the adjoint formula, a system of coupled forward equations is derived for the price of the European call over different states of the economy.

Libor Local Volatility Model: A New Interest Rate Smile Model

Wilmott ◽  
2016 ◽  
Vol 2016 (82) ◽  
pp. 78-87 ◽  
Author(s):  
Dingqiu Zhu ◽  
Dong Qu
Keyword(s):  
Interest Rate ◽  
Local Volatility ◽  
Local Volatility Model ◽  
Volatility Model
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