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Algorithm for Financial Derivatives Evaluation in Generalized Double-Heston Model

Author

Listed:
  • 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.

Suggested Citation

  • 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.
    • Handle: RePEc:bra:journl:v:1:y:2010:i:1:p:5-10
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    File URL: http://www.edusoft.ro/brand/RePEc/bra/journl/brand_1_socaciu_heston_ok.pdf
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    References listed on IDEAS

    as
    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," Management Science, INFORMS, vol. 55(12), pages 1914-1932, December.
    2. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    3. Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," The Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-343.
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    Citations

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    Cited by:

    1. Daniel Negură, 2013. "Algorithm for Financial Derivatives Evaluation in a Generalized Multi-Heston Model," BRAND. Broad Research in Accounting, Negotiation, and Distribution, EduSoft Publishing, vol. 4(1), pages 81-84, March.

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