Modeling asset price under two-factor Heston model with jumps (Q1792238)
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scientific article; zbMATH DE number 6952102
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| English | Modeling asset price under two-factor Heston model with jumps |
scientific article; zbMATH DE number 6952102 |
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Modeling asset price under two-factor Heston model with jumps (English)
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11 October 2018
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stochastic volatility model
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double Heston model
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jumps
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European options
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Monte Carlo simulation
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variance reduction
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0.9701115489006042
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0.8968059420585632
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0.8271063566207886
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0.817875325679779
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0.8101704120635986
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