1 citations · 1 across the 3 of their papers we have counts for
3 papers
A Hybrid LSMC-PDE Method for Bermudan Option Pricing under the Gatheral Double Mean-Reverting Model
Mara Kalicanin Dimitrov, Ying Ni
We study Bermudan option pricing under the Gatheral Double Mean-Reverting (GDMR) stochastic volatility model. The model features a variance process together with a stochastic long-…
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…
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…