Algorithm for Financial Derivatives Evaluation in Generalized Double-Heston Model

Authors

  • Tiberiu Socaciu “Ştefan cel Mare” University of Suceava, Faculty of Economics, Romania, “Vasile Goldis” West University of Arad, Faculty of Informatics, Romania “Babes-Bolyai” University of Cluj-Napoca, Faculty of Economics, Romania Author https://orcid.org/0000-0003-1265-6640
  • Bogdan Patrut “Vasile Alecsandri” University of Bacău, Faculty of Sciences Author https://orcid.org/0000-0003-1756-6468

Keywords:

Monte Carlo, algorithms, computational financial engineering, derivatives evaluation, Black–Scholes–Merton model, Heston model, double-Heston model, generalized double-Heston model

Abstract

This paper shows how can be estimated the value of an option if we assume the doubleHeston model on a message-based architecture. For path trace simulation we will discretize continous model with an Euler division of time. 

Author Biographies

  • Tiberiu Socaciu, “Ştefan cel Mare” University of Suceava, Faculty of Economics, Romania, “Vasile Goldis” West University of Arad, Faculty of Informatics, Romania “Babes-Bolyai” University of Cluj-Napoca, Faculty of Economics, Romania

    Tiberiu Socaciu
    “Ştefan cel Mare” University of Suceava, Faculty of Economics, Romania,
    “Vasile Goldis” West University of Arad, Faculty of Informatics, Romania
    “Babes-Bolyai” University of Cluj-Napoca, Faculty of Economics, Romania
    socaciu@inf.ro  

  • Bogdan Patrut, “Vasile Alecsandri” University of Bacău, Faculty of Sciences

    Bogdan Pătruţ
    “Vasile Alecsandri” University of Bacău, Faculty of Sciences, Romania
    bogdan@edusoft.ro 

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Published

2025-07-14

Issue

Vol. 1 No. 1 (2010): BRAND, volume 1, issue 1, year 2010

Section

Articles