A new nonlinear stochastic volatility model with regime switching stochastic mean reversion and its applications to option pricing

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

(2021) Sha Lin et al.   CHAOS SOLITONS & FRACTALS

A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean

(2020) Xin-Jiang He et al.   Mathematics and Financial Economics

Option pricing in a regime switching stochastic volatility model

(2018) Arunangshu Biswas et al.   STATISTICS & PROBABILITY LETTERS

A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model with Delay and an Application to Finance

(2017) Emel Savku et al.   JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS

Robust optimization in spline regression models for multi-model regulatory networks under polyhedral uncertainty

(2016) Ayşe Özmen et al.   OPTIMIZATION

Dynamic programming for a Markov-switching jump–diffusion

(2014) N. Azevedo et al.   JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

Robust multiobjective optimization & applications in portfolio optimization

(2013) Jörg Fliege et al.   EUROPEAN JOURNAL OF OPERATIONAL RESEARCH

Optimal control of stochastic hybrid system with jumps: A numerical approximation

(2013) Büşra Zeynep Temoçin et al.   JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case

(2012) Robert J. Elliott et al.   QUANTITATIVE FINANCE

Comparison and robustification of Bayes and Black-Litterman models

(2010) Katrin Schöttle et al.   MATHEMATICAL METHODS OF OPERATIONS RESEARCH