Financial/Actuarial Mathematics Wednesday, August 26, 2015, 3:00pm-4:00pm 1360 East Hall Katsumasa Nishide (Yokohama National University) Heston-Type Stochastic Volatility with a Markov Switching Regime 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...