Algorithm for Financial Derivatives Evaluation in Generalized Double-Heston Model

Tiberiu Socaciu () and Bogdan Patrut ()

BRAND. Broad Research in Accounting, Negotiation, and Distribution, 2010, vol. 1, issue 1, 5-10

Abstract: 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.

Keywords: Monte Carlo; algorithms; computational financial engineering; derivatives evaluation; Black�Scholes�Merton model; Heston model; double-Heston model; generalized double-Heston model. (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:bra:journl:v:1:y:2010:i:1:p:5-10

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