An efficient Monte Carlo simulation for new uncertain Heston-CIR hybrid model

DOI10.1007/s00500-021-05702-8zbMath1498.91492OpenAlexW3151496991MaRDI QIDQ2100206

Mohammad Mirzazadeh, Sara Ghasemalipour, Behrouz Fathi-Vajargah

Publication date: 21 November 2022

Published in: Soft Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00500-021-05702-8

zbMATH Keywords

Monte Carlo simulationEuropean option pricingLiu processuncertain differential equation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

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