Option pricing under a discrete-time Markov switching stochastic volatility with co-jump model (Q2170294)
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scientific article; zbMATH DE number 7578222
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| English | Option pricing under a discrete-time Markov switching stochastic volatility with co-jump model |
scientific article; zbMATH DE number 7578222 |
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Option pricing under a discrete-time Markov switching stochastic volatility with co-jump model (English)
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30 August 2022
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option pricing
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stochastic volatility
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co-jump
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Markov switching
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average integrated variance
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0.9135997
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0.9125226
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0.91244173
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0.91112065
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0.90828896
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0.90698063
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0.9051299
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0.90502566
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0.90398365
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