A closed-form pricing formula for European options under a new three-factor stochastic volatility model with regime switching
type: Item
instance of: scholarly article
title: A closed-form pricing formula for European options under a new three-factor stochastic volatility model with regime switching
zbMATH Open document ID: 1505.91382
author: Xin-Jiang He
author: Sha Lin
published in: Japan Journal of Industrial and Applied Mathematics
publication date: 2023-01-17T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60J20
zbMATH DE Number: 7642733
zbMATH Keywords: stochastic volatility
zbMATH Keywords: regime switching
zbMATH Keywords: European options
zbMATH Keywords: closed-form
zbMATH Keywords: stochastic long-term mean
MaRDI profile type: Publication
full work available at URL: s13160-022-00538-7
OpenAlex ID: W4296117267
cites work: The pricing of options and corporate liabilities
cites work: Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case
cites work: Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility
cites work: A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean
cites work: How should a local regime-switching model be calibrated?
cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
DOI: 10.1007/S13160-022-00538-7
description: scientific article; zbMATH DE number 7642733