About Multi-Heston SDE Discretization

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-...

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Main Authors: Tiberiu Socaciu, Mirela Danubianu
Format: Article
Language:English
Published: EduSoft Publishing Bacau 2013-07-01
Series:Brand Research in Accounting, Negociation and Distribution
Online Access:http://www.edusoft.ro/brain/index.php/brand/article/view/393
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spelling doaj-0f11b49a2bf84fb5b20737fb5dd79f382020-11-25T00:23:18ZengEduSoft Publishing BacauBrand Research in Accounting, Negociation and Distribution2067-81772013-07-014269289About Multi-Heston SDE DiscretizationTiberiu Socaciu0Mirela Danubianu1"Stefan cel Mare" University of Suceava"Stefan cel Mare" University of Suceava<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>http://www.edusoft.ro/brain/index.php/brand/article/view/393
collection DOAJ
language English
format Article
sources DOAJ
author Tiberiu Socaciu
Mirela Danubianu
spellingShingle Tiberiu Socaciu
Mirela Danubianu
About Multi-Heston SDE Discretization
Brand Research in Accounting, Negociation and Distribution
author_facet Tiberiu Socaciu
Mirela Danubianu
author_sort Tiberiu Socaciu
title About Multi-Heston SDE Discretization
title_short About Multi-Heston SDE Discretization
title_full About Multi-Heston SDE Discretization
title_fullStr About Multi-Heston SDE Discretization
title_full_unstemmed About Multi-Heston SDE Discretization
title_sort about multi-heston sde discretization
publisher EduSoft Publishing Bacau
series Brand Research in Accounting, Negociation and Distribution
issn 2067-8177
publishDate 2013-07-01
description <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>
url http://www.edusoft.ro/brain/index.php/brand/article/view/393
work_keys_str_mv AT tiberiusocaciu aboutmultihestonsdediscretization
AT mireladanubianu aboutmultihestonsdediscretization
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