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

Mathematics and Financial Economics - Tập 15 Số 2 - Trang 381-396 - 2021
Xin‐Jiang He1, Wenting Chen2
1School of Economics, Zhejiang University of Technology, Hangzhou, China
2School of Business, Jiangnan University, Wuxi, China

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