Algorithm for Financial Derivatives Evaluation in a Generalized Multi-Heston Model

Daniel Negură ()
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Daniel Negură: ERCEA Bruxelles, Belgium

BRAND. Broad Research in Accounting, Negotiation, and Distribution, 2013, vol. 4, issue 1, 81-84

Abstract: In this paper we show how could a financial derivative be estimated based on an assumed Multi-Heston model support.

Keywords: Euler Maruyama discretization method; Monte Carlo simulation; Heston model; DoubleHeston model; Multi-Heston model (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:bra:journl:v:3:y:2012:i:3:p:81-84

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