Calibration of the double Heston model and an analytical formula in pricing American put option
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Publication:2020499
DOI10.1016/j.cam.2021.113422zbMath1461.91320OpenAlexW3126272183MaRDI QIDQ2020499
Farshid Mehrdoust, Abdelouahed Hamdi, Idin Noorani
Publication date: 23 April 2021
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.2021.113422
Evolutionary algorithms, genetic algorithms (computational aspects) (68W50) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (5)
Perpetual cancellable American options with convertible features ⋮ Implied higher order moments in the Heston model: a case study of S\&P500 index ⋮ Valuation of option price in commodity markets described by a Markov-switching model: a case study of WTI crude oil market ⋮ Primal-Dual Active-Set Method for the Valuation Of American Exchange Options ⋮ Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm
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