Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm
type: Item
instance of: scholarly article
title: Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm
author: Farshid Mehrdoust
author: Idin Noorani
author: Abdelouahed Hamdi
published in: Mathematics and Computers in Simulation
publication date: 2022-11-17T00:00:00Z
Mathematics Subject Classification ID: 91-XX
Mathematics Subject Classification ID: 90-XX
zbMATH DE Number: 7619079
zbMATH Keywords: American option
zbMATH Keywords: double Heston model
zbMATH Keywords: regime-switching
zbMATH Keywords: calibration
zbMATH Keywords: Levenberg-Marquardt method
MaRDI profile type: Publication
full work available at URL: j.matcom.2022.09.006
OpenAlex ID: W4296285941
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DOI: 10.1016/J.MATCOM.2022.09.006
description: scientific article; zbMATH DE number 7619079