Markov-switching Heston's stochastic volatility model. Under this framework, the expected return and the long-term mean of … evidence that the Markov-switching Heston's stochastic volatility model performs well in capturing major events affecting price …. The saddlepoint method gives an effective approximation to option prices under the Markov-switching Heston's stochastic …

VARs. To address these issues, we propose VAR models with outlier-augmented stochastic volatility (SV) that combine …

model and a stochastic volatility factor model, it is possible to estimate reliable uncertainty measures and describe their …

This paper investigates the pricing of single-asset autocallable barrier reverse convertibles in the Heston local-stochastic … volatility (LSV) model. Despite their complexity, autocallable structured notes are the most traded equity-linked exotic …

processes in continuous time. In this setting, characterized by stochastic volatility and liquidity, we prove that the realized …