Two-factor rough Bergomi model : American call option pricing and calibration by interior point optimization algorithm
Arezou Karimi, Farshid Mehrdoust, Maziar Salahi
| Year of publication: |
2025
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| Authors: | Karimi, Arezou ; Mehrdoust, Farshid ; Salahi, Maziar |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 66.2025, 1, p. 681-714
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| Subject: | Rough volatility | American option | Bergomi model | Fractional Brownian motion | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading | Mathematische Optimierung | Mathematical programming | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-024-10725-y [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015590797