On the existence and uniqueness of the solution to the double Heston model equation and valuing Lookback option.
Somayeh FallahFarshid MehrdoustPublished in: J. Comput. Appl. Math. (2019)
Keyphrases
- mathematical model
- computational model
- high level
- cost function
- experimental data
- similarity measure
- optimal solution
- conceptual model
- probability distribution
- theoretical analysis
- numerical methods
- integer programming
- closed form
- statistical model
- theoretical framework
- database
- prior knowledge
- information retrieval
- neural network