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BRAND. Broad Research in Accounting, Negotiation, and Distribution
Volume: 1 | Issue: 1 |
Algorithm for Financial Derivatives Evaluation in Generalized Double-Heston Model
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.
Academic discipline and sub-disciplines:
Finance, Applied Mathematics, Programming
