Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm

DOI10.1016/j.matcom.2022.09.006OpenAlexW4296285941MaRDI QIDQ2095684

Abdelouahed Hamdi, Idin Noorani, Farshid Mehrdoust

Publication date: 17 November 2022

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2022.09.006

zbMATH Keywords

calibrationLevenberg-Marquardt methodAmerican optionregime-switchingdouble Heston model

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (1)

Implied higher order moments in the Heston model: a case study of S\&P500 index

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach
• A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
• Option pricing and Esscher transform under regime switching
• Operator splitting methods for pricing American options under stochastic volatility
• Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
• Bond pricing under a Markovian regime-switching jump-augmented vasicek model via stochastic flows
• Mixed fractional Heston model and the pricing of American options
• Full and fast calibration of the Heston stochastic volatility model
• On the existence and uniqueness of the solution to the double Heston model equation and valuing lookback option
• Bayesian analysis of contingent claim model error
• A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model
• Solving complex PIDE systems for pricing American option under multi-state regime switching jump-diffusion model
• Calibration of the double Heston model and an analytical formula in pricing American put option
• Pricing the American options using the Black-Scholes pricing formula
• Pricing equity-linked death benefits by complex Fourier series expansion in a regime-switching jump diffusion model
• On pricing barrier options with regime switching
• Option valuation under a regime-switching constant elasticity of variance process
• Calibration and simulation of Heston model
• A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions
• Reduced Basis Methods for Pricing Options with the Black--Scholes and Heston Models
• A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model
• AMERICAN OPTIONS WITH REGIME SWITCHING
• On the Number of State Variables in Options Pricing
• The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
• Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
• A multifactor volatility Heston model
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Volatility is rough
• Jump and Volatility Dynamics for the S&P 500: Evidence for Infinite-Activity Jumps with Non-Affine Volatility Dynamics from Stock and Option Markets*
• Information and option pricings
• Monte Carlo valuation of American options
• Multiscale methods for the valuation of American options with stochastic volatility
• A unified option pricing model with Markov regime-switching double stochastic volatility, stochastic interest rate and jumps
• American option pricing under double Heston stochastic volatility model: simulation and strong convergence analysis
• American option pricing under the double Heston model based on asymptotic expansion
• A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• Optimal Investment Under Information Driven Contagious Distress
• Stochastic differential equations. An introduction with applications.

This page was built for publication: Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm