On pricing options under two stochastic volatility processes

Numerical methods (including Monte Carlo methods) (91G60) Stochastic models in economics (91B70) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Asymptotic expansions of solutions to PDEs (35C20) Higher-order parabolic equations (35K25)

Cites Work

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American option pricing under two stochastic volatility processes
Differential evolution -- a simple and efficient heuristic for global optimization over continuous spaces
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ON PRICING CONTINGENT CLAIMS UNDER THE DOUBLE HESTON MODEL
A multifactor volatility Heston model
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Artificial Boundary Method for European Pricing Option Problem
Pricing multi-asset American option under Heston-CIR diffusion model with 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 Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
The representation of American options prices under stochastic volatility and jump-diffusion dynamics

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