Tap into the power of the most popular stochastic volatility model for pricing equity
derivatives Since its introduction in 1993, the Heston model has become a popular model for …

In this paper, we present a new method for simulating integrals of stochastic processes. We
focus on the nontrivial case of time integrals, conditional on the state variable levels at the …

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 …

This paper focuses on pricing American put options under the double Heston model
proposed by Christoffersen et al. By introducing an explicit exercise rule, we obtain the …

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 …

A multivariate positive definite estimator of the integrated covariance matrix of noisy and
asynchronously observed asset returns is proposed. We adopt a Bayesian Dynamic Linear …

In this paper, we present American option pricing under Heston–Hull–White's stochastic
volatility and stochastic interest rate model. To do this, we first discretize the stochastic …

The aim of this paper is to investigate model risk aspects of variance swaps and forward-
start options in a realistic market setup where the underlying asset price process exhibits …

This study develops a general pricing method for multiasset cross‐currency options, whose
underlying asset consists of multiple different assets, and the evaluation currency is different …

To price floating strike lookback options, we obtain a partial differential equation (PDE)
according to the double Heston model. To solve the PDE, we employ a deep learning …