About Multi-Heston SDE Discretization

Authors

Tiberiu Socaciu Ştefan cel Mare University of Suceava, Department of Informatics Author https://orcid.org/0000-0003-1265-6640
Mirela Danubianu Ştefan cel Mare University of Suceava, Department of Computer Science Author https://orcid.org/0000-0002-5470-1406

Keywords:

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

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.

Author Biographies

Tiberiu Socaciu, Ştefan cel Mare University of Suceava, Department of Informatics

Ştefan cel Mare University of Suceava, Department of Informatics
Mirela Danubianu, Ştefan cel Mare University of Suceava, Department of Computer Science

Ştefan cel Mare University of Suceava, Department of Computer Science

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Published

2025-07-15

Issue

Vol. 4 No. 2 (2013): Volume 4, Issue 2, Year 2013, Special Issue

Section

Articles