Pricing derivatives in stochastic volatility models using the finite difference method

Pricing derivatives in stochastic volatility models using the finite difference method

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The Heston stochastic volatility model is one extension of the Black-Scholes model which describes the money markets more accurately so that more realistic prices for derivative products are obtained. From the stochastic differential equation of the underlying financial product a partial differentia...

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Bibliographic Details
Main Author: Kluge, Tino
Other Authors: Technische Universität Chemnitz
Language:English
Published: 2002
Subjects:
Heston modell
lokaler Fehler
nicht-uniformes Gitternetz
stochastic volatility
info:eu-repo/classification/ddc/510
ddc:510
Finanzmathematik
Finite-Differenzen-Methode
Online Access:http://nbn-resolving.de/urn:nbn:de:bsz:ch1-200300086
https://monarch.qucosa.de/id/qucosa%3A17959
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http://nbn-resolving.de/urn:nbn:de:bsz:ch1-200300086
https://monarch.qucosa.de/id/qucosa%3A17959
https://monarch.qucosa.de/api/qucosa%3A17959/attachment/ATT-1/

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