Calibration and numerical schemes for Heston model with applications to TAIEX option pricing
碩士 === 國立中正大學 === 應用數學研究所 === 95 === In this thesis we calibrate the Heston model to the Taiwan TAIEX index by minimizing the square errors between the market price and the well-known semi-closed form solution of the Heston model. The parameter calibrated Heston model is used to price the Asian opti...
| Main Authors: | , |
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| Format: | Others |
| Language: | en_US |
| Online Access: | http://ndltd.ncl.edu.tw/handle/34005625877896086636 |