An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching

DOI10.1016/j.jedc.2016.08.002zbMath1401.91531OpenAlexW2513457959MaRDI QIDQ1656408

Xin-Jiang He, Song-Ping Zhu

Publication date: 10 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://ro.uow.edu.au/cgi/viewcontent.cgi?article=1283&context=eispapers1

zbMATH Keywords

perturbation methodEuropean optionempirical studiesregime-switching Heston model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

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