Asymptotic expansion method for pricing and hedging American options with two-factor stochastic volatilities and stochastic interest rate
DOI10.1080/00207160.2019.1579316zbMath1483.91259OpenAlexW2911239124MaRDI QIDQ5030547
Publication date: 17 February 2022
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207160.2019.1579316
asymptotic expansionhedgingoption pricingAmerican optionsstochastic interest ratedouble Heston model
Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Computation of special functions and constants, construction of tables (65D20)
Related Items (2)
Cites Work
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