American option pricing under the double Heston model based on asymptotic expansion
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Publication:5234286
DOI10.1080/14697688.2018.1478119zbMath1420.91363OpenAlexW2884008983MaRDI QIDQ5234286
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Publication date: 26 September 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2018.1478119
Numerical methods (including Monte Carlo methods) (91G60) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)
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