Regime recovery using implied volatility in Markov modulated market model

1 code implementation • 25 Jan 2022 • Anindya Goswami, Kedar Nath Mukherjee, Irvine Homi Patalwala, Sanjay N. S

Then by performing several numerical experiments we have investigated the dependence of IV on the time to maturity (TTM) and strike price of the vanilla options.

Time Series Time Series Analysis