American option pricing under the double Heston model based on asymptotic expansion

DOI10.1080/14697688.2018.1478119zbMath1420.91363OpenAlexW2884008983WikidataQ129466791 ScholiaQ129466791MaRDI QIDQ5234286

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Publication date: 26 September 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2018.1478119

zbMATH Keywords

asymptotic expansionoption pricingAmerican optionscalibrationdouble Heston model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

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Uses Software

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