A closed-form formula for pricing European options with stochastic volatility, regime switching, and stochastic market liquidity
Xin-Jiang He, Hang Chen, Sha Lin
| Year of publication: |
2025
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|---|---|
| Authors: | He, Xin-Jiang ; Chen, Hang ; Lin, Sha |
| Published in: |
The journal of futures markets. - New York, NY : Wiley Interscience, ISSN 1096-9934, ZDB-ID 2002201-3. - Vol. 45.2025, 5, p. 429-440
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| Subject: | empirical analysis | option pricing | regime switching | stochastic liquidity | stochastic volatility | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain | Marktliquidität | Market liquidity | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/fut.22573 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015376672