Algorithm for Financial Derivatives Evaluation in a Generalized Multi-Heston Model

Authors

  • Dan Negură ERCEA Bruxelles, Belgium Author

Keywords:

Euler Maruyama discretization method, Monte Carlo simulation, Heston model, Double-Heston model, Multi-Heston model

Abstract

In this paper we show how could a financial derivative be estimated based on an assumed Multi-Heston model support.

Author Biography

  • Dan Negură, ERCEA Bruxelles, Belgium

    ERCEA Bruxelles, Belgium 

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Published

2025-07-14

Issue

Vol. 4 No. 1 (2013): Volume 4, Issue 1, Year 2013

Section

Articles