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"A new nonlinear stochastic volatility model with regime switching ..."

Xin-Jiang He, Sha Lin (2023)

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DOI: 10.1016/J.ESWA.2022.118742

access: closed

type: Journal Article

metadata version: 2022-12-05

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Xin-Jiang He, Sha Lin:
A new nonlinear stochastic volatility model with regime switching stochastic mean reversion and its applications to option pricing. Expert Syst. Appl. 212: 118742 (2023)

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