Algorithm for Financial Derivatives Evaluation in a Generalized Multi-Heston Model
Abstract
In this paper we show how could a financial derivative be estimated based on an assumed Multi-Heston model support.
Keywords: Euler Maruyama discretization method, Monte Carlo simulation, Heston model, Double-Heston model, Multi-Heston model
Keywords: Euler Maruyama discretization method, Monte Carlo simulation, Heston model, Double-Heston model, Multi-Heston model