Adelaide Research & Scholarship
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https://hdl.handle.net/2440/114353
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| Type: | Journal article |
| Title: | Heston-type stochastic volatility with a Markov switching regime |
| Author: | Elliott, R. Nishide, K. Osakwe, C. |
| Citation: | Journal of Futures Markets, 2016; 36(9):902-919 |
| Publisher: | Wiley |
| Issue Date: | 2016 |
| ISSN: | 0270-7314 1096-9934 |
| Statement of Responsibility: | Robert J. Elliott, Katsumasa Nishide, and Carlton-James U. Osakwe |
| Abstract: | <jats:title>Abstract</jats:title><jats:sec><jats:label /><jats:p>We construct a Heston‐type stochastic volatility model with a Markov switching regime to price a plain‐vanilla stock option. A semi‐analytic solution, which contains a matrix ODE is obtained and numerically calculated. Our model is flexible enough to provide a wide variety of volatility surfaces for the same volatility level but different regimes. © 2015 Wiley Periodicals, Inc. Jrl Fut Mark 36:902–919, 2016</jats:p></jats:sec> |
| Description: | Published online 26 October 2015 |
| Rights: | © 2015 Wiley Periodicals, Inc. |
| DOI: | 10.1002/fut.21761 |
| Grant ID: | ARC |
| Published version: | http://dx.doi.org/10.1002/fut.21761 |
| Appears in Collections: | Aurora harvest 8 Mathematical Sciences publications |
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