Algorithm for Financial Derivatives Evaluation in Generalized Double-Heston Model

This paper shows how can be estimated the value of an option if we assume the double- Heston model on a message-based architecture. For path trace simulation we will discretize continous model with an Euler division of time.

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Year of publication:	2010
Authors:	Socaciu, Tiberiu ; Patrut, Bogdan
Published in:	BRAND. Broad Research in Accounting, Negotiation, and Distribution. - EduSoft Publishing. - Vol. 1.2010, 1, p. 5-10
Publisher:	EduSoft Publishing
Subject:	Monte Carlo \| algorithms \| computational financial engineering \| derivatives evaluation \| Blackï¿½Scholesï¿½Merton model \| Heston model \| double-Heston model \| generalized double-Heston model

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008619334