ON PRICING CONTINGENT CLAIMS UNDER THE DOUBLE HESTON MODEL

DOI10.1142/S0219024912500331zbMath1262.91147MaRDI QIDQ3166710

Massimo Costabile, Emilio Russo, Ivar Massabò

Publication date: 15 October 2012

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

stochastic volatility; discrete-time models; double Heston model

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91B70: Stochastic models in economics

Related Items

American option pricing under the double Heston model based on asymptotic expansion

Cites Work

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