Abstract
To price floating strike lookback options, we obtain a partial differential equation (PDE) according to the double Heston model. To solve the PDE, we employ a deep learning algorithm called the deep Galerkin method (DGM), which is well-suited for high-dimensional PDEs. Finally, we compare the obtained results from mentioned method with the option price under the Monte Carlo simulation method.
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Communicated by Silvana Manuela Pesenti.
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Motameni, M., Mehrdoust, F. & Najafi, A.R. Lookback option pricing under the double Heston model using a deep learning algorithm. Comp. Appl. Math. 41, 378 (2022). https://doi.org/10.1007/s40314-022-02098-5
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DOI: https://doi.org/10.1007/s40314-022-02098-5