most citedOption Pricing Under a Discrete-Time Markov Switching Stochastic Volatility with Co-Jump Model

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q-fin.PR2020★ 1 cited

Option Pricing Under a Discrete-Time Markov Switching Stochastic Volatility with Co-Jump Model

Michael C. Fu, Bingqing Li, Rongwen Wu +1

We consider option pricing using a discrete-time Markov switching stochastic volatility with co-jump model, which can model volatility clustering and varying mean-reversion speeds…