Pricing derivatives in stochastic volatility models using the finite difference method
The Heston stochastic volatility model is one extension of the Black-Scholes model which describes the money markets more accurately so that more realistic prices for derivative products are obtained. From the stochastic differential equation of the underlying financial product a partial differentia...
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| Format: | Dissertation |
| Language: | English |
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Universitätsbibliothek Chemnitz
2003
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| Online Access: | http://nbn-resolving.de/urn:nbn:de:bsz:ch1-200300086 http://nbn-resolving.de/urn:nbn:de:bsz:ch1-200300086 |