Calibration of the double Heston model and an analytical formula in pricing American put option
type: Item
instance of: scholarly article
title: Calibration of the double Heston model and an analytical formula in pricing American put option
zbMATH Open document ID: 1461.91320
author: Farshid Mehrdoust
author: Idin Noorani
author: Abdelouahed Hamdi
published in: Journal of Computational and Applied Mathematics
publication date: 2021-04-23T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 68W50
zbMATH DE Number: 7337443
zbMATH Keywords: double Heston model
zbMATH Keywords: American option
zbMATH Keywords: calibration
zbMATH Keywords: genetic optimization algorithm
MaRDI profile type: Publication
full work available at URL: j.cam.2021.113422
OpenAlex ID: W3126272183
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DOI: 10.1016/J.CAM.2021.113422
description: scientific article; zbMATH DE number 7337443