A closed-form pricing formula for European options under a new three-factor stochastic volatility model with regime switching

DOI10.1007/S13160-022-00538-7zbMATH Open1505.91382OpenAlexW4296117267MaRDI QIDQ2111571FDOQ2111571

Authors Xin-Jiang He, Sha Lin

Publication date 17 January 2023

Published in Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s13160-022-00538-7

zbMATH Keywords

regime switchingEuropean optionsstochastic volatilityclosed-formstochastic long-term mean

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• How should a local regime-switching model be calibrated?
• Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case
• Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility
• The pricing of options and corporate liabilities

Cited in

(11)

• European option pricing with market frictions, regime switches and model uncertainty
• Closed-form formulae for European options under three-factor models
• A closed-form pricing formula for European options under a multi-factor nonlinear stochastic volatility model with regime-switching
• An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching
• A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean
• A closed-form pricing formula for european exchange options with stochastic volatility
• A closed-form pricing formula for forward start options under a regime-switching stochastic volatility model
• A note on ``A closed-form pricing formula for European options under the Heston model with stochastic interest rate
• Analytically pricing European options with a two-factor Stein-Stein model
• On pricing options under two stochastic volatility processes
• A closed-form approximation formula for pricing European options under a three-factor model

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