Algorithm for Financial Derivatives Evaluation in Generalized Double-Heston Model
AbstractThis 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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Bibliographic InfoArticle provided by EduSoft Publishing in its journal BRAND. Broad Research in Accounting, Negotiation, and Distribution.
Volume (Year): 1 (2010)
Issue (Month): 1 (September)
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Monte Carlo; algorithms; computational financial engineering; derivatives evaluation; Blackï¿½Scholesï¿½Merton model; Heston model; double-Heston model; generalized double-Heston model.;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- 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," Management Science, INFORMS, vol. 55(12), pages 1914-1932, December.
- Baz,Jamil & Chacko,George, 2009. "Financial Derivatives," Cambridge Books, Cambridge University Press, number 9780521066792.
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