COSTABILE, M.; MASSABÒ, I.; RUSSO, E. - In: International Journal of Theoretical and Applied … 15 (2012) 05, pp. 1250033-1
This article presents a lattice based approach for pricing contingent claims when the underlying asset evolves according to the double Heston (dH) stochastic volatility model introduced by Christoffersen et al. (2009). We discretize the continuous evolution of both squared volatilities by a...