A new nonlinear stochastic volatility model with regime switching stochastic mean reversion and its applications to option pricing - He, Xin-Jiang; Lin, Sha (Expert systems with applications, 2023)
Keywords: Closed-form solution; European option; Nonlinearity; Regime switching; Stochastic volatility; Stochastic volatility; Nonlinearity; Closed-form solution; Regime switching; European option