A simulation of the heston model with stochastic volatility using the finite difference method
Số trang: 14
Loại file: pdf
Dung lượng: 934.31 KB
Lượt xem: 11
Lượt tải: 0
Xem trước 2 trang đầu tiên của tài liệu này:
Thông tin tài liệu:
In this study, we investigated one of the most popular stochastic volatility pricing models, the Heston model, for European options. This paper deals with the implementation of a finite difference scheme to solve a two-dimensional partial differential equation form of the Heston model.
Nội dung trích xuất từ tài liệu:
A simulation of the heston model with stochastic volatility using the finite difference method
Nội dung trích xuất từ tài liệu:
A simulation of the heston model with stochastic volatility using the finite difference method
Tìm kiếm theo từ khóa liên quan:
Agricultural sciences Heston model European options Stochastic volatility Finite difference methodTài liệu có liên quan:
-
14 trang 39 0 0
-
Who cares more about the environment?: An empirical study in Vietnam
16 trang 32 0 0 -
13 trang 30 0 0
-
The impacts of social and economic determinants on poverty: An empirical study on Southeast Asia
13 trang 29 0 0 -
A review of digital economy and digital economics
9 trang 29 0 0 -
15 trang 28 0 0
-
Ebook An introduction to Neural network methods for differential equations
124 trang 24 0 0 -
12 trang 24 0 0
-
10 trang 23 0 0
-
25 trang 23 0 0