About Multi-Heston SDE Discretization
<p>A</p><p>bstract: in this paper we show how can estimate a financial derivative based on a support if assume for the support a Multi-Heston model.<br /><strong>Keywords:</strong> Euler Maruyama discretization method, Monte Carlo simulation, Heston model, Double-...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
EduSoft Publishing Bacau
2013-07-01
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| Series: | Brand Research in Accounting, Negociation and Distribution |
| Online Access: | http://www.edusoft.ro/brain/index.php/brand/article/view/393 |
| Summary: | <p>A</p><p>bstract: in this paper we show how can estimate a financial derivative based on a support if assume for the support a Multi-Heston model.<br /><strong>Keywords:</strong> Euler Maruyama discretization method, Monte Carlo simulation, Heston model, Double-Heston model, Multi-Heston model.</p> |
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| ISSN: | 2067-8177 |