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.
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Vilnius University Press
2013-12-01
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| Series: | Lietuvos Matematikos Rinkinys |
| Subjects: | |
| Online Access: | https://www.journals.vu.lt/LMR/article/view/14883 |
| _version_ | 1811275757660405760 |
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| author | Antanas Lenkšas Vigirdas Mackevičius |
| author_facet | Antanas Lenkšas Vigirdas Mackevičius |
| author_sort | Antanas Lenkšas |
| collection | DOAJ |
| description | We apply weak split-step approximations of the Heston model for evaluation of put and call option prices in this model. |
| first_indexed | 2024-04-12T23:44:47Z |
| format | Article |
| id | doaj.art-58e754fb0eed46a4a9bdbd35b0cdc559 |
| institution | Directory Open Access Journal |
| issn | 0132-2818 2335-898X |
| language | English |
| last_indexed | 2024-04-12T23:44:47Z |
| publishDate | 2013-12-01 |
| publisher | Vilnius University Press |
| record_format | Article |
| series | Lietuvos Matematikos Rinkinys |
| spelling | doaj.art-58e754fb0eed46a4a9bdbd35b0cdc5592022-12-22T03:11:54ZengVilnius University PressLietuvos Matematikos Rinkinys0132-28182335-898X2013-12-0154A10.15388/LMR.A.2013.08Option pricing in Heston model by means of weak approximationsAntanas Lenkšas0Vigirdas Mackevičius1Vilnius UniversityVilnius UniversityWe apply weak split-step approximations of the Heston model for evaluation of put and call option prices in this model.https://www.journals.vu.lt/LMR/article/view/14883Heston modelsimulationweak approximationssplit-step approximationscall and put options |
| spellingShingle | Antanas Lenkšas Vigirdas Mackevičius Option pricing in Heston model by means of weak approximations Lietuvos Matematikos Rinkinys Heston model simulation weak approximations split-step approximations call and put options |
| title | Option pricing in Heston model by means of weak approximations |
| title_full | Option pricing in Heston model by means of weak approximations |
| title_fullStr | Option pricing in Heston model by means of weak approximations |
| title_full_unstemmed | Option pricing in Heston model by means of weak approximations |
| title_short | Option pricing in Heston model by means of weak approximations |
| title_sort | option pricing in heston model by means of weak approximations |
| topic | Heston model simulation weak approximations split-step approximations call and put options |
| url | https://www.journals.vu.lt/LMR/article/view/14883 |
| work_keys_str_mv | AT antanaslenksas optionpricinginhestonmodelbymeansofweakapproximations AT vigirdasmackevicius optionpricinginhestonmodelbymeansofweakapproximations |