Fusaro, Michelangelo; Giribone, Pier Giuseppe; Tissone, … - In: Risk management magazine 18 (2023) 2, pp. 13-26
The Heston model is one of the most used techniques for estimating the fair value and the risk measures associated with investment certificates. Typically, the pricing engine implements a significant number of projections of the underlying until maturity, it calculates the pay-off for all the...