Calibration and Validation of Heston’s Stochastic Volatility Model
碩士 === 東吳大學 === 財務工程與精算數學系 === 103 === The market information of foreign exchange option often presents by implied volatility, and there is often a volatility smile phenomenon on implied volatility. In other words, the volatility of the underlying asset is not constant. Heston (1993) proposed stocha...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2015
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| Online Access: | http://ndltd.ncl.edu.tw/handle/4jm4h4 |