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

Xin-Jiang HeSha Lin
Published in: Expert Syst. Appl. (2023)
Keyphrases
  • stochastic model
  • probabilistic model
  • neural network
  • theoretical framework
  • stochastic process
  • objective function
  • text documents