1 citations · 1 across the 2 of their papers we have counts for
2 papers
q-fin.PR2025
Almost-Exact Simulation Scheme for Heston-type Models: Bermudan and American Option Pricing
Mara Kalicanin Dimitrov, Marko Dimitrov, Anatoliy Malyarenko +1
Recently, an Almost-Exact Simulation (AES) scheme was introduced for the Heston stochastic volatility model and tested for European option pricing. This paper extends this scheme f…
q-fin.MF2022★ 1 cited
Constructing Trinomial Models Based on Cubature Method on Wiener Space: Applications to Pricing Financial Derivatives
Hossein Nohrouzian, Anatoliy Malyarenko, Ying Ni
This contribution deals with an extension to our developed novel cubature methods of degrees 5 on Wiener space. In our previous studies, we have shown that the cubature formula is…