Heston‐Type Stochastic Volatility with a Markov Switching Regime. Issue 9 (26th October 2015)
- Record Type:
- Journal Article
- Title:
- Heston‐Type Stochastic Volatility with a Markov Switching Regime. Issue 9 (26th October 2015)
- Main Title:
- Heston‐Type Stochastic Volatility with a Markov Switching Regime
- Authors:
- Elliott, Robert J.
Nishide, Katsumasa
Osakwe, Carlton‐James U. - Abstract:
- Abstract: 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
- Is Part Of:
- Journal of futures markets. Volume 36:Issue 9(2016:Sep.)
- Journal:
- Journal of futures markets
- Issue:
- Volume 36:Issue 9(2016:Sep.)
- Issue Display:
- Volume 36, Issue 9 (2016)
- Year:
- 2016
- Volume:
- 36
- Issue:
- 9
- Issue Sort Value:
- 2016-0036-0009-0000
- Page Start:
- 902
- Page End:
- 919
- Publication Date:
- 2015-10-26
- Subjects:
- Commodity exchanges -- Periodicals
Foreign exchange futures -- Periodicals
332.632 - Journal URLs:
- http://onlinelibrary.wiley.com/journal/10.1002/(ISSN)1096-9934 ↗
http://www.interscience.wiley.com/jpages/0270-7314 ↗
http://onlinelibrary.wiley.com/ ↗ - DOI:
- 10.1002/fut.21761 ↗
- Languages:
- English
- ISSNs:
- 0270-7314
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - 4986.910000
British Library DSC - BLDSS-3PM
British Library HMNTS - ELD Digital store - Ingest File:
- 1193.xml