A closed-form pricing formula for European options under a new three-factor stochastic volatility model with regime switching (Q2111571): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 05:54, 5 March 2024
scientific article
| 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 |
Statements
A closed-form pricing formula for European options under a new three-factor stochastic volatility model with regime switching (English)
0 references
17 January 2023
0 references
stochastic volatility
0 references
regime switching
0 references
European options
0 references
closed-form
0 references
stochastic long-term mean
0 references
