|Date: Wednesday, August 26, 2015
Location: 1360 East Hall (3:00 PM to 4:00 PM)
Title: Heston-Type Stochastic Volatility with a Markov Switching Regime
Abstract: We construct a Heston-type stochastic volatility model with a Markov switching regime to price a plain-vanilla stock option. A semi-analytic solution, which contains a matrix ODE is obtained and numerically calculated. Our model is flexible enough to provide a wide variety of volatility surfaces for the same volatility level but different regimes.
Joint work with Robert J. Elliott and Carlton Osakwe .
Speaker: Katsumasa Nishide
Institution: Yokohama National University
Event Organizer: Erhan Bayraktar email@example.com