American option pricing under double Heston stochastic volatility model: simulation and strong convergence analysis
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Publication:5107393
DOI10.1080/00949655.2019.1577857OpenAlexW2914599196WikidataQ128393488 ScholiaQ128393488MaRDI QIDQ5107393
Farshid Mehrdoust, Somayeh Fallah
Publication date: 27 April 2020
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949655.2019.1577857
Numerical methods (including Monte Carlo methods) (91G60) Actuarial science and mathematical finance (91Gxx)
Related Items (6)
On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions ⋮ European option pricing under multifactor uncertain volatility model ⋮ Pricing multi-asset American option under Heston-CIR diffusion model with jumps ⋮ Implied higher order moments in the Heston model: a case study of S\&P500 index ⋮ 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
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