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20222026
most citedConstructing Trinomial Models Based on Cubature Method on Wiener Space: Applications to Pricing Financial Derivatives

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q-fin.PR2026

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-…