Saddlepoint method for pricing European options under Markov-switching Heston’s stochastic volatility model
Year of publication: |
2022
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Authors: | Zhang, Mengzhe ; Chan, Leunglung |
Published in: |
Journal of risk and financial management : JRFM. - Basel : MDPI, ISSN 1911-8074, ZDB-ID 2739117-6. - Vol. 15.2022, 9, Art.-No. 396, p. 1-9
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Subject: | European-style options | Markov chain | Markov-switching Heston’s stochastic volatility model | saddlepoint method | Optionspreistheorie | Option pricing theory | Markov-Kette | Volatilität | Volatility | Stochastischer Prozess | Stochastic process |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/jrfm15090396 [DOI] hdl:10419/274917 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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