algorithm for financial derivatives evaluation in generalized double-heston model
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ID: 242109
2010
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Abstract
This paper shows how can be estimated the value of an option if we assume the double-Heston model on a message-based architecture. For path trace simulation we will discretize continous model with an Euler division of time.
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socaciu2010brandalgorithm
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| Authors | ;Tiberiu Socaciu |
| Journal | wireless communications and mobile computing |
| Year | 2010 |
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