BRAND. Broad Research in Accounting, Negotiation, and Distribution, Vol 1, No 1 (2010)

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Algorithm for Financial Derivatives Evaluation in Generalized Double-Heston Model

Tiberiu Socaciu

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.

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