On the existence and uniqueness of the solution to the double Heston model equation and valuing lookback option (Q1713193)
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scientific article; zbMATH DE number 7006486
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| English | On the existence and uniqueness of the solution to the double Heston model equation and valuing lookback option |
scientific article; zbMATH DE number 7006486 |
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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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0.751064121723175
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0.7463091611862183
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