Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm
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Cited in
(8)- Implied higher order moments in the Heston model: a case study of S\&P500 index
- Markov regime-switching Heston model with CIR model framework and pricing VIX and S\&P500 American put option
- A gradient-based calibration method for the Heston model
- Commodity options pricing under Wishart stochastic volatility model equipped with jump process: model calibration by an optimized neural network
- Valuation of commodity option prices under a regime-switching model with stochastic convenience yield: model calibration using flower pollination optimization algorithm
- A novel option pricing framework using Pell-Lucas collocation method under the stochastic local volatility model
- Optimal calculations for the space-time fractional derivative option pricing models with stochastic liquidity risk and volatility using a combination neural network
- Formulas for pricing American VIX options under the generalized mixture volatility models
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