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A General Formula for Option Prices in a Stochastic Volatility Model - MaRDI portal

A General Formula for Option Prices in a Stochastic Volatility Model

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Publication:5363204

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DOI10.1080/1350486X.2011.624823zbMath1372.91104MaRDI QIDQ5363204

Daniel Dufresne, Stephen Chin

Publication date: 5 October 2017

Published in: Applied Mathematical Finance (Search for Journal in Brave)

zbMATH Keywords

Laplace transform marked point process Parseval's theorem Black-Scholes formula Markov regime switching

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Related Items (1)

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

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