On the existence and uniqueness of the solution to the double Heston model equation and valuing lookback option
type: Item
instance of: scholarly article
title: On the existence and uniqueness of the solution to the double Heston model equation and valuing lookback option
zbMATH Open document ID: 1419.91613
author: Somayeh Fallah
author: Farshid Mehrdoust
published in: Journal of Computational and Applied Mathematics
publication date: 2019-01-24T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91B70
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65M06
zbMATH DE Number: 7006486
zbMATH Keywords: double Heston model
zbMATH Keywords: strong solution
zbMATH Keywords: lookback option
zbMATH Keywords: Monte Carlo simulation
describes a project that uses: Matlab
MaRDI profile type: Publication
full work available at URL: j.cam.2018.10.045
OpenAlex ID: W2899736842
cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
cites work: Time Dependent Heston Model
cites work: Q4609296
cites work: Mixed fractional Heston model and the pricing of American options
cites work: The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
cites work: Option pricing when correlations are stochastic: an analytical framework
cites work: Continuous Time Wishart Process for Stochastic Risk
cites work: The Heston model and its extensions in Matlab and C\#. With a foreword by Steven L. Heston
cites work: On an inequality of Gronwall
cites work: Q4338975
Wikidata QID: Q128997872
DOI: 10.1016/J.CAM.2018.10.045
description: scientific article; zbMATH DE number 7006486