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A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean
He, Xin-Jiang; Chen, Wenting - In: Mathematics and financial economics 15 (2021) 2, pp. 381-396
Persistent link: https://www.econbiz.de/10012500035
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Pricing foreign exchange options under a hybrid Heston-Cox-Ingersoll-Ross model with regime switching
He, Xin-Jiang; Chen, Wenting - In: IMA journal of management mathematics 33 (2022) 2, pp. 255-272
Persistent link: https://www.econbiz.de/10012798778
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On the asymptotic behavior of the optimal exercise price near expiry of an American put option under stochastic volatility
Chen, Wenting; Zhu, Song-Ping - In: Journal of risk and financial management : JRFM 15 (2022) 5, pp. 1-19
The behavior of the optimal exercise price of American puts near expiry has been well studied under the Black-Scholes model as a result of a series of publications. However, the behavior of the optimal exercise price under a stochastic volatility model, such as the Heston model, has not been...
Persistent link: https://www.econbiz.de/10013273116