Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm (Q2095684)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 7619079
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm |
scientific article; zbMATH DE number 7619079 |
Statements
Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm (English)
0 references
17 November 2022
0 references
American option
0 references
double Heston model
0 references
regime-switching
0 references
calibration
0 references
Levenberg-Marquardt method
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0.8429358601570129
0 references
0.8161080479621887
0 references
0.7971481680870056
0 references
0.7962625622749329
0 references
