Pricing in Multi-Heston Framework (I). Riccati equations

Authors

Keywords:

Riccati ODE, Multi-Heston framework, financial derivatives, Carr-Bakshi-Madan theorem

Abstract

This article presents the ultimate in resolving a pricing framework's multi-Heston. Basically, we use the theorem Carr-Bakshi-Madan and a characteristic function method. In this first part, we integrate solutions of Riccati equations.

Author Biography

  • Tiberiu Socaciu, Stefan cel Mare University of Suceava, Faculty of Economics and Public Administration

    Stefan cel Mare University of Suceava, Faculty of Economics and Public Administration

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Published

2025-07-15

Issue

Vol. 6 No. 1 (2015): Volume 6, Issue 1, Year 2015

Section

Articles