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Algorithm for Financial Derivatives Evaluation in Generalized Double-Heston Model

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Author Info

  • Tiberiu Socaciu

    ()
    ("Stefan cel Mare" University of Suceava, Romania)

  • Bogdan Patrut

    ()
    ("Vasile Alecsandri" University of Bacau, Romania)

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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File URL: http://www.edusoft.ro/brand/RePEc/bra/journl/brand_1_socaciu_heston_ok.pdf
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Bibliographic Info

Article provided by EduSoft Publishing in its journal BRAND. Broad Research in Accounting, Negotiation, and Distribution.

Volume (Year): 1 (2010)
Issue (Month): 1 (September)
Pages: 5-10

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Handle: RePEc:bra:journl:v:1:y:2010:i:1:p:5-10

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Web page: http://brand.edusoft.ro

Related research

Keywords: Monte Carlo; algorithms; computational financial engineering; derivatives evaluation; Black�Scholes�Merton model; Heston model; double-Heston model; generalized double-Heston model.;

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  1. Peter Christoffersen & Steven Heston & Kris Jacobs, 2009. "The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well," CREATES Research Papers 2009-34, School of Economics and Management, University of Aarhus.
  2. Baz,Jamil & Chacko,George, 2009. "Financial Derivatives," Cambridge Books, Cambridge University Press, number 9780521066792, October.
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