Saddlepoint method for pricing European options under Markov-switching Heston's stochastic volatility model
Year of publication: |
2022
|
---|---|
Authors: | Zhang, Mengzhe ; Chan, Leunglung |
Published in: |
Journal of Risk and Financial Management. - ISSN 1911-8074. - Vol. 15.2022, 9, p. 1-9
|
Publisher: |
Basel : MDPI |
Subject: | European-style options | Markov chain | Markov-switching Heston’ | s stochastic volatility model | saddlepoint method |
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