An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching
Year of publication: |
October 2016
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Authors: | He, Xin-Jiang ; Zhu, Song-Ping |
Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 71.2016, p. 77-85
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Subject: | European option | Regime-switching Heston model | Perturbation method | Empirical studies | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Markov-Kette | Markov chain | EU-Staaten | EU countries | Optionsgeschäft | Option trading |
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