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

DOI10.1007/s11579-020-00281-yzbMath1460.91269OpenAlexW3094105199MaRDI QIDQ829337

Xin-Jiang He, Wen-Ting Chen

Publication date: 5 May 2021

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-020-00281-y

zbMATH Keywords

stochastic volatilityrisk managementEuropean optionsclosed-formempirical studiesstochastic long-term mean

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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