A closed-form pricing formula for European options under a multi-factor nonlinear stochastic volatility model with regime-switching (Q6498440): Difference between revisions

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scientific article; zbMATH DE number 7843810

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English	A closed-form pricing formula for European options under a multi-factor nonlinear stochastic volatility model with regime-switching	scientific article; zbMATH DE number 7843810

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scholarly article

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title

A closed-form pricing formula for European options under a multi-factor nonlinear stochastic volatility model with regime-switching (English)

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Japan Journal of Industrial and Applied Mathematics

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publication date

7 May 2024

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MaRDI profile type

MaRDI publication profile

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cites work

The Pricing of Options and Corporate Liabilities

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Bayesian analysis of stochastic volatility models with fat-tails and correlated errors

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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean

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Analysis of time series subject to changes in regime

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Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case

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Dynamic programming for semi-Markov modulated SDEs

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Stochastic differential games for optimal investment problems in a Markov regime-switching jump-diffusion market

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

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The Non-Absolute Convergence of Gil-Pelaez' Inversion Integral

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Differential evolution -- a simple and efficient heuristic for global optimization over continuous spaces

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Identifiers

DOI

10.1007/s13160-023-00642-2

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Mathematics Subject Classification ID

91G20

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zbMATH DE Number

7843810

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Sitelinks

Mathematics(1 entry)

mardi Publication:6498440

@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean
+Normal rank
@@ Property / cites work @@
+Analysis of time series subject to changes in regime
+Normal rank
@@ Property / cites work @@
+Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case
+Normal rank
@@ Property / cites work @@
+Dynamic programming for semi-Markov modulated SDEs
+Normal rank
@@ Property / cites work @@
+Stochastic differential games for optimal investment problems in a Markov regime-switching jump-diffusion market
+Normal rank
@@ Property / cites work @@
+An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching
+Normal rank
@@ Property / cites work @@
+The Non-Absolute Convergence of Gil-Pelaez' Inversion Integral
+Normal rank
@@ Property / cites work @@
+Differential evolution -- a simple and efficient heuristic for global optimization over continuous spaces
+Normal rank