Pricing options in a Markov regime switching model with a random acceleration for the volatility (Q4557217)
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scientific article; zbMATH DE number 6986622
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| English | Pricing options in a Markov regime switching model with a random acceleration for the volatility |
scientific article; zbMATH DE number 6986622 |
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Pricing options in a Markov regime switching model with a random acceleration for the volatility (English)
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29 November 2018
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option pricing
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regime switching
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stochastic volatility
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random acceleration
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Esscher transform
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homotopy analysis method
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0.78904789686203
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0.7840951085090637
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