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BRAND. Broad Research in Accounting, Negotiation, and Distribution
Volume: 4 | Issue: 1 | Paper number: 9.
Algorithm for Financial Derivatives Evaluation in a Generalized Multi-Heston Model
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, Double-Heston model, Multi-Heston model
Keywords: Euler Maruyama discretization method, Monte Carlo simulation, Heston model, Double-Heston model, Multi-Heston model
Academic discipline and sub-disciplines:
Finance, Economics
