A closed-form formula for pricing European options with stochastic volatility, regime switching, and stochastic market liquidity
Year of publication: |
2025
|
---|---|
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 |
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