ON PRICING CONTINGENT CLAIMS UNDER THE DOUBLE HESTON MODEL
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Publication:3166710
DOI10.1142/S0219024912500331zbMath1262.91147OpenAlexW1969027134MaRDI QIDQ3166710
Massimo Costabile, Emilio Russo, Ivar Massabò
Publication date: 15 October 2012
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024912500331
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Cites Work
- The Pricing of Options and Corporate Liabilities
- Consistent variance curve models
- Penalty methods for American options with stochastic volatility
- Option pricing when correlations are stochastic: an analytical framework
- The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
- High order discretization schemes for the CIR process: Application to affine term structure and Heston models
- A tree-based method to price American options in the Heston model
- PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
- Multigrid for American option pricing with stochastic volatility
- Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
- COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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