Pricing European Options in the Heston and the Double Heston Models

• Autorzy: Arkadiusz Orzechowski
• Języki publikacji: EN

Abstrakty

EN

Two models of pricing European options are presented and compared in this paper, i.e. the Heston model and the double Heston model. As the models belong to the class of stochastic volatility models, particular attention is paid to the way the characteristic functions and their inverse Fourier transforms are determined. The aim of the study is to investigate computational efficiency of pricing European calls. The method applied is based on the assumption that the prices of the derivatives are evaluated by means of Gauss-Kronrod quadrature.(original abstract)

Słowa kluczowe

EN

Options pricing; European options; Derivatives

PL

Wycena opcji; Opcje europejskie; Instrumenty pochodne

• Czasopismo: Metody Ilościowe w Badaniach Ekonomicznych / Szkoła Główna Gospodarstwa Wiejskiego
• Rocznik: 2021
• Tom: 22(XXII)
• Numer: nr 1
• Strony: 39--50

Twórcy

autor

Arkadiusz Orzechowski

• Szkoła Główna Handlowa w Warszawie

Bibliografia

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Identyfikatory

DOI

https://doi.org/10.22630/MIBE.2021.22.1.4