A closed-form pricing formula for forward start options under a regime-switching stochastic volatility model

Published 2021 View Full Article

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Title
A closed-form pricing formula for forward start options under a regime-switching stochastic volatility model
Authors
Keywords
Forward start options, Regime-switching, Stochastic volatility, Closed-form
Journal
CHAOS SOLITONS & FRACTALS
Volume 144, Issue -, Pages 110644
Publisher
Elsevier BV
Online
2021-01-28
DOI
10.1016/j.chaos.2020.110644
References
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