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Journal of Statistical Computation and Simulation Volume 89, 2019 - Issue 7
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Articles

American option pricing under double Heston stochastic volatility model: simulation and strong convergence analysis

Somayeh FallahDepartment of Applied Mathematics, Faculty of Mathematical Sciences, University of Guilan, Rasht, IranView further author information
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Farshid MehrdoustDepartment of Applied Mathematics, Faculty of Mathematical Sciences, University of Guilan, Rasht, IranCorrespondence[email protected]
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Pages 1322-1339 | Received 04 Aug 2018, Accepted 30 Jan 2019, Published online: 13 Feb 2019

Citations (7)

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Read on this site (2)

Farshid Mehrdoust & Somayeh Fallah. (2022) On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions. Communications in Statistics - Simulation and Computation 51:11, pages 6332-6351.
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Farshid Mehrdoust, Somayeh Fallah & Oldouz Samimi. (2021) Pricing multi-asset American option under Heston-CIR diffusion model with jumps. Communications in Statistics - Simulation and Computation 50:11, pages 3182-3193.
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Articles from other publishers (5)

Farshid Mehrdoust & Idin Noorani. (2023) Implied higher order moments in the Heston model: a case study of S &P500 index. Decisions in Economics and Finance 46:2, pages 477-504.
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Farshid Mehrdoust, Idin Noorani & Abdelouahed Hamdi. (2023) Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg–Marquardt optimization algorithm. Mathematics and Computers in Simulation 204, pages 660-678.
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Youngin Yoon & Jeong-Hoon Kim. (2021) A Closed Form Solution for Pricing Variance Swaps Under the Rescaled Double Heston Model. Computational Economics 61:1, pages 429-450.
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Farshid Mehrdoust, Idin Noorani & Abdelouahed Hamdi. (2021) Calibration of the double Heston model and an analytical formula in pricing American put option. Journal of Computational and Applied Mathematics 392, pages 113422.
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Sabahat Hassanzadeh & Farshid Mehrdoust. (2020) European option pricing under multifactor uncertain volatility model. Soft Computing 24:12, pages 8781-8792.
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