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Valuing a European option with the H...

Yang, Yuan.

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Valuing a European option with the Heston model.

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Valuing a European option with the Heston model./
Author:	Yang, Yuan.
Description:	61 p.
Notes:	Source: Masters Abstracts International, Volume: 51-06.
Contained By:	Masters Abstracts International51-06(E).
Subject:	Applied Mathematics. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=1537747
ISBN:	9781303095696

Valuing a European option with the Heston model.
Yang, Yuan.

Valuing a European option with the Heston model. - 61 p.

Source: Masters Abstracts International, Volume: 51-06.

Thesis (M.S.)--Rochester Institute of Technology, 2013.

In spite of the Black-Scholes (BS) equation being widely used to price options, this method is based on a hypothesis that the volatility of the underlying is a constant. A number of scholars began to improve the formula, and they proposed to employ stochastic volatility models to predict the behavior of the volatility.

ISBN: 9781303095696Subjects--Topical Terms:

1669109
Applied Mathematics.

Valuing a European option with the Heston model.
LDR:01687nam a2200301 4500 001 1963406
005 20141003074043.5
008 150210s2013 ||||||||||||||||| ||eng d
020 $a 9781303095696
035 $a (MiAaPQ)AAI1537747
035 $a AAI1537747
040 $a MiAaPQ $c MiAaPQ
100 1 $a Yang, Yuan. $3 1672470
245 1 0 $a Valuing a European option with the Heston model.
300 $a 61 p.
500 $a Source: Masters Abstracts International, Volume: 51-06.
500 $a Adviser: Bernard Brooks.
502 $a Thesis (M.S.)--Rochester Institute of Technology, 2013.
520 $a In spite of the Black-Scholes (BS) equation being widely used to price options, this method is based on a hypothesis that the volatility of the underlying is a constant. A number of scholars began to improve the formula, and they proposed to employ stochastic volatility models to predict the behavior of the volatility.
520 $a One of the results of the improvement is stochastic volatility models, which replaces the fixed volatility by a stochastic volatility process. The purpose of this dissertation is to adopt one of the famous stochastic volatility models, Heston Model (1993), to price European call options. Put option values can easily obtained by call-put parity if it is needed.
520 $a We derive a model based on the Heston model. Then, we compare it with Black-Scholes equation, and make a sensitivity analysis for its parameters.
590 $a School code: 0465.
650 4 $a Applied Mathematics. $3 1669109
650 4 $a Economics, Finance. $3 626650
690 $a 0364
690 $a 0508
710 2 $a Rochester Institute of Technology. $b Applied Mathematics. $3 1679315
773 0 $t Masters Abstracts International $g 51-06(E).
790 $a 0465
791 $a M.S.
792 $a 2013
793 $a English
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=1537747