"A semianalytical formula for European options under a hybrid Heston–Co" by Xin Jiang He and Wenting Chen
Abstract In this paper, we consider the pricing of European options under a regime-switching Heston–Cox–Ingersoll–Ross (CIR) hybrid model, where the mean-reversion levels of both the stochastic volatility and interest rate are assumed to change among different states. Albeit difficult, we have still managed to derive an semianalytical pricing formula for European options after the generalized moment generating function of this particular model is worked out. Numerical experiments are also...
Empirical Study European Options Eneralized Moment Generating Function Eston Cir Hybrid Model Regime Switching Emianalytical Solution
Source: uow.edu.au