Heston-Type Stochastic Volatility with a Markov Switching Regime

We construct a Heston-type stochastic volatility model with a Markov switching regime to price a plain-vanilla stock option. A semi-analytic solution, which contains a matrix ODE is obtained and numerically calculated. Our model is flexible enough to provide a wide variety of volatility surfaces for the same volatility level but different regimes

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Year of publication:	2016
Authors:	Elliott, Robert J.
Other Persons:	Nishide, Katsumasa (contributor) ; Osakwe, Carlton (contributor)
Publisher:	[2016]: [S.l.] : SSRN
Subject:	Markov-Kette \| Markov chain \| Optionspreistheorie \| Option pricing theory \| Stochastische Volatilität \| Stochastic volatility \| Volatilität \| Volatility
Description of contents:	Abstract [papers.ssrn.com] ; Abstract [doi.org]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Journal of Futures Markets, Vol.36, No.9, pp.902-919 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 5, 2016 erstellt Volltext nicht verfügbar
Other identifiers:	10.2139/ssrn.2470975 [DOI]
Classification:	G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; E32 - Business Fluctuations; Cycles
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013006139