A closed-form pricing formula for European options under a new three-factor stochastic volatility model with regime switching (Q2111571)
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scientific article; zbMATH DE number 7642733
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A closed-form pricing formula for European options under a new three-factor stochastic volatility model with regime switching |
scientific article; zbMATH DE number 7642733 |
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A closed-form pricing formula for European options under a new three-factor stochastic volatility model with regime switching (English)
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17 January 2023
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stochastic volatility
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regime switching
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European options
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closed-form
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stochastic long-term mean
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