1. Adelaide Research & Scholarship
  2. Schools and Disciplines
  3. School of Mathematical Sciences
  4. Mathematical Sciences publications
Please use this identifier to cite or link to this item: https://hdl.handle.net/2440/114353
Citations
Scopus Web of Science® Altmetric
?
?
Full metadata record
DC FieldValueLanguage
dc.contributor.authorElliott, R.-
dc.contributor.authorNishide, K.-
dc.contributor.authorOsakwe, C.-
dc.date.issued2016-
dc.identifier.citationJournal of Futures Markets, 2016; 36(9):902-919-
dc.identifier.issn0270-7314-
dc.identifier.issn1096-9934-
dc.identifier.urihttp://hdl.handle.net/2440/114353-
dc.descriptionPublished online 26 October 2015-
dc.description.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>-
dc.description.statementofresponsibilityRobert J. Elliott, Katsumasa Nishide, and Carlton-James U. Osakwe-
dc.language.isoen-
dc.publisherWiley-
dc.rights© 2015 Wiley Periodicals, Inc.-
dc.source.urihttp://dx.doi.org/10.1002/fut.21761-
dc.titleHeston-type stochastic volatility with a Markov switching regime-
dc.typeJournal article-
dc.identifier.doi10.1002/fut.21761-
dc.relation.grantARC-
pubs.publication-statusPublished-
Appears in Collections:Aurora harvest 8
Mathematical Sciences publications

Files in This Item:
There are no files associated with this item.
Show simple item record


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.