This paper proposes a novel stochastic volatility model for pricing European call options. Based on the double Heston model, the model introduces a stochastic long-term average process and additional volatility terms for each volatility component, and assumes that the long-term mean itself has dynamic evolution characteristics. Moreover, the model regulates some key parameters through a Markov state transition mechanism. This study uses the characteristic function method to derive a closed-form pricing formula for European call options. The numerical accuracy of the formula is verified through Monte Carlo simulation, and further numerical experiments are conducted to average the process. Finally, based on a rigorously designed empirical analysis, it is shown that the proposed model outperforms the two comparison models in terms of option pricing accuracy.
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