Browsing Mathematics, Statistics & Physics by Subject "Genetic optimization algorithm"
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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 ...