algorithm for financial derivatives evaluation in generalized double-heston model
;Tiberiu Socaciu
wireless communications and mobile computing2010Vol. 1pp. 5-10
104
socaciu2010brandalgorithm
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.