TY - JOUR
T1 - On Pricing Options Under Two Stochastic Volatility Processes
AU - Xie , Wenjia
AU - Huang , Zhongyi
JO - East Asian Journal on Applied Mathematics
VL - 2
SP - 418
EP - 450
PY - 2024
DA - 2024/04
SN - 14
DO - http://doi.org/10.4208/eajam.2022-356.180923 
UR - https://global-sci.org/intro/article_detail/eajam/23069.html
KW - Iterative splitting, asymptotic expansion, calibration, stochastic volatility.
AB - <p style="text-align: justify;">From the Black-Scholes option pricing model, this work evaluates the evolution of the mathematical modelling into the double stochastic volatility model that
studies the optimization performance in partial differential equation (PDE) methods.
This paper focuses on the calibration and numerical methodology processes to derive
the comparison of the Heston and the double Heston models to design a more efficient
numerical iterative splitting method. Through Li and Huang’s iterative splitting method,
the numerical results conclude that the mixed method reduces the overall computational
cost and improves the convergence of the iterative process while maintaining the simplicity, flexibility and interpretability of PDE methods.</p>