2 papers
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-…
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…