ON PRICING CONTINGENT CLAIMS UNDER THE DOUBLE HESTON MODEL (Q3166710): Difference between revisions

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+High order discretization schemes for the CIR process: Application to affine term structure and Heston models
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+PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
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+The Pricing of Options and Corporate Liabilities
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+Consistent variance curve models
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+The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
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+Multigrid for American option pricing with stochastic volatility
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+Option pricing when correlations are stochastic: an analytical framework
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY
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+Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
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+A tree-based method to price American options in the Heston model
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+Penalty methods for American options with stochastic volatility
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