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

Pricing, Business, Quality.

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.

Tiberiu Socaciu

https://www.edusoft.ro/brain/index.php/brand/article/view/478

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