Browsing by Subject "American option"
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Calibration of the double Heston model and an analytical formula in pricing American put option
( Elsevier B.V. , 2021 , Article)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 equation (double Heston PDE) using the equivalent ... -
Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm
( Elsevier B.V. , 2023 , Article)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 stochastic volatility models shift in various ...