On the existence and uniqueness of the solution to the double Heston model equation and valuing lookback option (Q1713193): Difference between revisions
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| Property / DOI: 10.1016/j.cam.2018.10.045 / rank | |||
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Latest revision as of 05:32, 11 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the existence and uniqueness of the solution to the double Heston model equation and valuing lookback option |
scientific article |
Statements
On the existence and uniqueness of the solution to the double Heston model equation and valuing lookback option (English)
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24 January 2019
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double Heston model
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strong solution
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lookback option
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Monte Carlo simulation
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