On the existence and uniqueness of the solution to the double Heston model equation and valuing lookback option
DOI10.1016/j.cam.2018.10.045zbMath1419.91613OpenAlexW2899736842WikidataQ128997872 ScholiaQ128997872MaRDI QIDQ1713193
Somayeh Fallah, Farshid Mehrdoust
Publication date: 24 January 2019
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2018.10.045
Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)
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- Mixed fractional Heston model and the pricing of American options
- Option pricing when correlations are stochastic: an analytical framework
- The Heston Model and Its Extensions in Matlab and C#
- The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
- Time Dependent Heston Model
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Continuous Time Wishart Process for Stochastic Risk
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