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A new nonlinear stochastic volatility model with regime switching stochastic mean reversion and its applications to option pricing

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References

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2017Stability advances in robust portfolio optimization under parallelepiped uncertainty

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117 cited

2012Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case102 cited

2013Optimal control of stochastic hybrid system with jumps: A numerical approximation62 cited

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