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

DOI10.1007/s13160-023-00642-2MaRDI QIDQ6498440

Unnamed Author, Haomin Zhang, Unnamed Author, Yuanying Jiang

Publication date: 7 May 2024

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

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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