Pricing in Multi-Heston Framework (I). Riccati equations

Tiberiu Socaciu ()

BRAND. Broad Research in Accounting, Negotiation, and Distribution, 2015, vol. 5, issue 1&2, 6-11

Abstract: This article presents the ultimate in resolving a pricing framework's multi-Heston. Basically, we use the theorem Carr-Bakshi-Madan and a characteristic function method. In this first part, we integrate solutions of Riccati equations.

Keywords: Riccati ODE; Multi-Heston framework; financial derivatives; Carr-BakshiMadan theorem (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:bra:journl:v:5:y:2015:i:1&2:p:6-11

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