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AuthorMehrdoust, F.
AuthorNoorani, I.
AuthorHamdi, A.
Available date2023-09-24T07:55:31Z
Publication Date2021
Publication NameJournal of Computational and Applied Mathematics
ResourceScopus
URIhttp://dx.doi.org/10.1016/j.cam.2021.113422
URIhttp://hdl.handle.net/10576/47865
AbstractThis 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 European put option price and standard portfolio-consumption model. Then through the affine form of the model and Fourier transform method, we evaluate the American put option price. Finally, we calibrate the option prices resulting from double Heston model to a set of observed index options by employing Genetic optimization algorithm. A detailed numerical study illustrates the efficiency of the proposed method. 2021 Elsevier B.V.
Languageen
PublisherElsevier B.V.
SubjectAmerican option
Calibration
Double Heston model
Genetic optimization algorithm
TitleCalibration of the double Heston model and an analytical formula in pricing American put option
TypeArticle
Volume Number392
dc.accessType Abstract Only


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