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Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg–Marquardt optimization algorithm

Farshid Mehrdoust, Idin Noorani, Abdelouahed Hamdi

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Source: Crossref

Published: Feb 1, 2023

DOI: 10.1016/j.matcom.2022.09.006

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Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg–Marquardt optimization algorithm — Mathematical Frontier Network