On the existence and uniqueness of the solution to the double Heston model equation and valuing lookback option

DOI10.1016/j.cam.2018.10.045zbMath1419.91613OpenAlexW2899736842WikidataQ128997872 ScholiaQ128997872MaRDI QIDQ1713193

Somayeh Fallah, Farshid Mehrdoust

Publication date: 24 January 2019

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2018.10.045

zbMATH Keywords

Monte Carlo simulationstrong solutionlookback optiondouble Heston model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions ⋮ European option pricing under multifactor uncertain volatility model ⋮ Calibration of the double Heston model and an analytical formula in pricing American put option ⋮ Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm ⋮ Lookback option pricing under the double Heston model using a deep learning algorithm

Uses Software

• Matlab

Cites Work

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• Mixed fractional Heston model and the pricing of American options
• Option pricing when correlations are stochastic: an analytical framework
• The Heston Model and Its Extensions in Matlab and C#
• The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
• Time Dependent Heston Model
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Continuous Time Wishart Process for Stochastic Risk

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