Hongyue Guo, Qiqi Deng, Wenjuan Jia, Lidong Wang, Cong Sui. Hidden Markov model-based modeling and prediction for implied volatility surface1. Journal of Intelligent and Fuzzy Systems, 45(6):12381-12394, December 2023. [doi]
@article{GuoDJWS23,
title = {Hidden Markov model-based modeling and prediction for implied volatility surface1},
author = {Hongyue Guo and Qiqi Deng and Wenjuan Jia and Lidong Wang and Cong Sui},
year = {2023},
month = {December},
doi = {10.3233/jifs-232139},
url = {https://doi.org/10.3233/jifs-232139},
researchr = {https://researchr.org/publication/GuoDJWS23},
cites = {0},
citedby = {0},
journal = {Journal of Intelligent and Fuzzy Systems},
volume = {45},
number = {6},
pages = {12381-12394},
}