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  • Search: subject:"Markov-switching Heston’s stochastic volatility model"
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European-style options 1 Markov chain 1 Markov-Kette 1 Markov-switching Heston’s stochastic volatility model 1 Monte Carlo simulation 1 Monte-Carlo-Simulation 1 Option pricing theory 1 Option trading 1 Optionsgeschäft 1 Optionspreistheorie 1 Stochastic process 1 Stochastischer Prozess 1 Volatility 1 Volatilität 1 saddlepoint method 1
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CC license 1 Free 1
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Article 1
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1
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Chan, Leunglung 1 Zhang, Mengzhe 1
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Journal of risk and financial management : JRFM 1
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ECONIS (ZBW) 1
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Saddlepoint method for pricing European options under Markov-switching Heston’s stochastic volatility model
Zhang, Mengzhe; Chan, Leunglung - In: Journal of risk and financial management : JRFM 15 (2022) 9, pp. 1-9
This paper evaluates the prices of European-style options when dynamics of the underlying asset is assumed to follow a Markov-switching Heston's stochastic volatility model. Under this framework, the expected return and the long-term mean of the variance of the underlying asset rely on states of...
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