Algorithm for Financial Derivatives Evaluation in Generalized Double-Heston Model


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.Monte Carlo; algorithms; computational financial engineering; derivatives evaluation; Black�Scholes�Merton model; Heston model; double-Heston model; generalized double-Heston model.

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