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Option pricing in a regime switching stochastic volatility model · Study

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ArticleOption pricing in a regime switching stochastic volatility model

Arunangshu Biswas2018

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Articlegreen2018

Option pricing in a regime switching stochastic volatility model

Arunangshu Biswas · Anindya Goswami · Ludger Overbeck

22 citations·0/0 files stored·Statistics & Probability Letters

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Stochastic processes and financial applications Nonlinear Partial Differential Equations Financial Risk and Volatility Modeling

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References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 2005Stochastic Integration and Differential Equations 2010A Guided Tour through Quadratic Hedging Approaches 1998Business Cycle Turning Points, A New Coincident Index, and Tests of Duration Dependence Based on a Dynamic Factor Model With Regime Switching 1999Essentials of Stochastic Finance 2006Moment explosions in stochastic volatility models 2005Stochastic Integration and Differential Equations. Second Edition.2000ESSENTIALS OF STOCHASTIC FINANCE

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Year2018

Typearticle

Published2018-03-08

VenueStatistics & Probability Letters

ISSN-L0167-7152

Languageen

Citations22

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spl.2018.02.056

openalex_workW2726720132

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