Heston vs Black Scholes stock price modelling
In this thesis the Black Scholes and the Heston stock prices are investigated and the models are compared. The Black Scholes model assumes that the volatility is constant, while the Heston model allows stochastic volatility which is more flexible and can perform better with empirical data. Both mode...
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| Format: | Others |
| Language: | English |
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Linnéuniversitetet, Institutionen för matematik (MA)
2021
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-105614 |