Pricing Put Options using Heston's Stochastic Volatility Model
The Heston model is a partial differential equation which is used to price options and is a further developed version of the more famous Black-Scholes equation. Heston considers stochastic volatility which results in an extra variable and a more complex equation. This paper contains numerical soluti...
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| Format: | Others |
| Language: | English |
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Norges teknisk-naturvitenskapelige universitet, Institutt for fysikk
2013
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-23372 |