Option pricing in Heston model by means of weak approximations

We apply weak split-step approximations of the Heston model for evaluation of put and call option prices in this model.

Bibliographic Details
Main Authors:	Antanas Lenkšas, Vigirdas Mackevičius
Format:	Article
Language:	English
Published:	Vilnius University Press 2013-12-01
Series:	Lietuvos Matematikos Rinkinys
Subjects:	Heston model simulation weak approximations split-step approximations call and put options
Online Access:	https://www.journals.vu.lt/LMR/article/view/14883

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