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BRAND. Broad Research in Accounting, Negotiation, and Distribution
Volume: 6 | Issue: 1&2 |
Pricing in Multi-Heston Framework (I). Riccati equations
Published January 13, 2016
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Abstract
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-Bakshi-Madan theorem
Academic discipline and sub-disciplines:
Mathematics
