Option price computation under binary control regime switching triple-factor stochastic volatility model

DOI10.15672/HUJMS.1538345MaRDI QIDQ6897319zbMATH OpenFDO

Authors Philip Ajibola Bankole, O. O. Ugbebor, M. E. Egwe

Publication date 20 November 2025

Published in Hacettepe Journal of Mathematics and Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.15672/HUJMS.1538345

zbMATH Keywords

binary controleconomic recessionoption computationtriple factor stochastic volatility

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A Shannon wavelet method for pricing American options under two-factor stochastic volatilities and stochastic interest rate
• Calibration of European option pricing model in uncertain environment: valuation of uncertainty implied volatility
• Option pricing under two-factor stochastic volatility jump-diffusion model
• Option pricing using the fast Fourier transform under the double exponential jump model with stochastic volatility and stochastic intensity
• The Heston model and its extensions in Matlab and C\#. With a foreword by Steven L. Heston
• The pricing of options and corporate liabilities
• The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Uncertainty theory

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