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About Multi-Heston SDE Discretization

Author

Listed:
  • Tiberiu Socaciu

    ("Åžtefan cel Mare" University of Suceava, Department of Informatics, Romania)

  • Mirela Danubianu

    ("Åžtefan cel Mare" University of Suceava, Department of Computer Science, Romania)

Abstract

in this paper we show how can estimate a financial derivative based on a support if assume for the support a Multi-Heston model.

Suggested Citation

  • Tiberiu Socaciu & Mirela Danubianu, 2014. "About Multi-Heston SDE Discretization," BRAND. Broad Research in Accounting, Negotiation, and Distribution, EduSoft Publishing, vol. 4(2), pages 6-9.
    • Handle: RePEc:bra:journl:v:4:y:2014:i:2:p:6-9
    as

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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. 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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