About Multi-Heston SDE Discretization

Tiberiu Socaciu () and Mirela Danubianu

BRAND. Broad Research in Accounting, Negotiation, and Distribution, 2014, vol. 4, issue 2, 6-9

Abstract: in this paper we show how can estimate a financial derivative based on a support if assume for the support a Multi-Heston model.

Keywords: Euler Maruyama discretization method; Monte Carlo simulation; Heston model; Double-Heston model; Multi-Heston model. (search for similar items in EconPapers)
Date: 2014
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