About Multi-Heston SDE Discretization

Tiberiu Socaciu, Mirela Danubianu

Abstract


A

bstract: 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.


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