Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg–Marquardt optimization algorithm
In this paper, we consider the pricing of American options under a regime-switching double
Heston model, such that the interest rate and mean-reversion level parameters in both …
Heston model, such that the interest rate and mean-reversion level parameters in both …
Foreign exchange options on Heston-CIR model under Lévy process framework
In this paper, we consider the Heston-CIR model with Lévy process for pricing in the foreign
exchange (FX) market by providing a new formula that better fits the distribution of prices. To …
exchange (FX) market by providing a new formula that better fits the distribution of prices. To …
Implied higher order moments in the Heston model: a case study of S &P500 index
F Mehrdoust, I Noorani - Decisions in Economics and Finance, 2023 - Springer
This paper proposes a stochastic volatility model based on the Cox-Ingersoll-Ross process
for stock market modeling. We derive a semi-analytical solution of the higher order moments …
for stock market modeling. We derive a semi-analytical solution of the higher order moments …
Calibration of the double Heston model and an analytical formula in pricing American put option
This paper proposes a novel approach to pricing of American put option under double
Heston model. We develop an analytical solution to the double Heston partial differential …
Heston model. We develop an analytical solution to the double Heston partial differential …
[HTML][HTML] Pricing the financial Heston–Hull–White model with arbitrary correlation factors via an adaptive FDM
F Soleymani, BN Saray - Computers & Mathematics with Applications, 2019 - Elsevier
This paper is concerned with the pricing procedure of one of the most challenging models
known as the Heston–Hull–White partial differential equation (PDE) in option pricing, at …
known as the Heston–Hull–White partial differential equation (PDE) in option pricing, at …
Research on the Construction of Financial Computing Model Based on BSDE Algorithm
Y Cai - Journal of Information & Knowledge Management, 2023 - World Scientific
Economic and social development has made financial engineering an increasingly
important research area, and more and more financial problems cannot be solved directly by …
important research area, and more and more financial problems cannot be solved directly by …
Pricing foreign exchange options under stochastic volatility and interest rates using an RBF–FD method
F Soleymani, A Itkin - Journal of Computational Science, 2019 - Elsevier
This paper proposes a numerical method for pricing foreign exchange (FX) options in a
model which deals with stochastic interest rates and stochastic volatility of the FX rate. The …
model which deals with stochastic interest rates and stochastic volatility of the FX rate. The …
Pricing multi-asset American option with stochastic correlation coefficient under variance gamma asset price dynamic
F Mehrdoust, O Samimi - Annals of Financial Economics, 2020 - World Scientific
This paper considers a class of Levy process namely the variance gamma (VG) process to
offer a more realistic way to model the dynamics of the logarithm of stock prices. Then, we …
offer a more realistic way to model the dynamics of the logarithm of stock prices. Then, we …
Pricing multi-asset American option under Heston stochastic volatility model
O Samimi, F Mehrdoust - International Journal of Financial …, 2018 - World Scientific
In this paper, we employ the Least-Squares Monte-Carlo (LSM) algorithm regarding three
discretization schemes, namely, the Euler–Maruyama discretization scheme, the Milstein …
discretization schemes, namely, the Euler–Maruyama discretization scheme, the Milstein …
混合分形Heston-CIR 模型下的美式期权定价及模拟
郭精军， 汪育兵， 白亚楠 - 《 山东大学学报(理学版)》, 2022 - lxbwk.njournal.sdu.edu.cn
为了刻画标的资产呈现出的“波动率微笑” 和“长相依” 等特性, 基于分形市场理论用标准布朗运动
和分数布朗运动(H∈(3/4, 1)) 的线性组合代替布朗运动, 构建了混合分形Heston-CIR …
和分数布朗运动(H∈(3/4, 1)) 的线性组合代替布朗运动, 构建了混合分形Heston-CIR …