Najafi, A.
Department of Applied Mathematics, Faculty of Mathematical Sciences, University of Guilan, Rasht, Iran.
[ 1 ] - Portfolio Optimization under Double Heston Duffie-Kan Model and the Price Calculation of the European Option
In this paper, we present a new version of the Double Heston model, where the mixed Duffie-Kan model is used to predict the volatility of the model instead of the CIR process. According to this model, we predict the stock price and calculate the European option price by using the Monte-Carlo method. Finally, by applying the proposed model, we find the optimal portfolio under the Cardinality Con...
نویسندگان همکار