期刊论文详细信息
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS 卷:350
On the existence and uniqueness of the solution to the double Heston model equation and valuing Lookback option
Article
Fallah, Somayeh1  Mehrdoust, Farshid1 
[1] Univ Guilan, Dept Appl Math, Fac Math Sci, POB 41938-1914, Rasht, Iran
关键词: Double Heston model;    Strong solution;    Lookback option;    Monte Carlo simulation;   
DOI  :  10.1016/j.cam.2018.10.045
来源: Elsevier
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【 摘 要 】

In this work, we study the existence and uniqueness of the solution to the stochastic differential equation of the double Heston model which is defined by two independent variance processes with non-Lipschitz diffusions. Besides, we present a Monte Carlo algorithm based on the Euler discretization method to price the Lookback options under this model. (C) 2018 Elsevier B.V. All rights reserved.

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