Algorithm for Financial Derivatives Evaluation in Generalized Double-Heston Model
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.
Volume (Year): 1 (2010)
Issue (Month): 1 (September)
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References listed on IDEAS
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- 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,"
INFORMS, vol. 55(12), pages 1914-1932, December.
- 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, Department of Economics and Business Economics, Aarhus University.
- Tiberiu Socaciu & Bogdan Patrut, 2010. "Algorithm for Financial Derivatives Evaluation in Generalized Double-Heston Model," BRAND. Broad Research in Accounting, Negotiation, and Distribution, EduSoft Publishing, vol. 1(1), pages 5-10, September. Full references (including those not matched with items on IDEAS)
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