TY - JOUR T1 - Portfolio Optimization under Double Heston Duffie-Kan Model and the Price Calculation of the European Option TT - بهینه‌سازی سبد سهام تحت مدل دابل هستون دافی-کان مرکب و محاسبه قیمت اختیار اروپایی JF - JAMLU JO - JAMLU VL - 19 IS - 1 UR - http://jamlu.liau.ac.ir/article-1-2076-en.html Y1 - 2022 SP - 37 EP - 56 KW - Portfolio Optimization KW - Mixed Double Heston Duffie- Kan Model KW - European Option KW - Monte Carlo Method N2 - 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 Constraints Mean–Variance (CCMV) model and compare it with the mixed Double Houston model and show its efficiency. M3 10.52547/jamlu.19.1.37 ER -