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 …

In this paper, we study the variance and volatility swaps pricing problem under the
framework of double Heston jump diffusion model with approximative fractional stochastic …

This paper presents an uncertain stock model under the multifactor uncertain volatility
framework. Based on the uncertainty theory, some closed-form and analytical formulas …

In this work, the volatility processes of the double Heston model are extended to treat the
long memory property of the volatility. In this article, we study our presented model as a new …

In this paper, a closed-form analytical solution of option price under the Bi-Heston model is
derived. Through empirical analysis, the advantages and disadvantages of the parametric …

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 …

In this paper, we study the valuation of options with hybrid default risk when the underlying
assets are driven by a two-factor stochastic volatility model. The hybrid default model is …

To price floating strike lookback options, we obtain a partial differential equation (PDE)
according to the double Heston model. To solve the PDE, we employ a deep learning …

On a generalization of fractional Langevin equation with boundary conditions Page 1 http://www.aimspress.com/journal/Math
AIMS Mathematics, 7(1): 1333–1345. DOI: 10.3934/math.2022079 Received: 25 August …

In this paper, we discuss the calibration of the geometric Brownian motion model equipped
with Markov-switching factor. Since the motivation for this research comes from a recent …