American option pricing under the double Heston model based on asymptotic expansion
Year of publication: |
2019
|
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Authors: | Zhang, S. M. ; Feng, Y. |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 19.2019, 2, p. 211-226
|
Subject: | American options | Asymptotic expansion | Calibration | Double Heston model | Option pricing | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionsgeschäft | Option trading |
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