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"Two-factor Heston model equipped with regime-switching: American option ..."

Farshid Mehrdoust, Idin Noorani, Abdelouahed Hamdi (2023)

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DOI: 10.1016/J.MATCOM.2022.09.006

access: closed

type: Journal Article

metadata version: 2022-12-05

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Farshid Mehrdoust, Idin Noorani, Abdelouahed Hamdi:
Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm. Math. Comput. Simul. 204: 660-678 (2023)

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