Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm (Q2095684)
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scientific article; zbMATH DE number 7619079
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm |
scientific article; zbMATH DE number 7619079 |
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Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm (English)
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17 November 2022
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American option
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double Heston model
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regime-switching
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calibration
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Levenberg-Marquardt method
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