Advanced Search
MyIDEAS: Login

Algorithm for Financial Derivatives Evaluation in Generalized Double-Heston Model

Contents:

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.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.edusoft.ro/brand/RePEc/bra/journl/brand_1_socaciu_heston_ok.pdf
Download Restriction: no

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

as in new window
Handle: RePEc:bra:journl:v:1:y:2010:i:1:p:5-10

Contact details of provider:
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.;

References

References listed on IDEAS
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.:
as in new window
  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.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:bra:journl:v:1:y:2010:i:1:p:5-10

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Bogdan Patrut).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.