Monte Carlo Simulation of Heston Model in MATLAB GUI
In the Black-Scholes model, the volatility considered being deterministic and it causes some inefficiencies and trends in pricing options. It has been proposed by many authors that the volatility should be modelled by a stochastic process. Heston Model is one solution to this problem. To simulate th...
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| Format: | Others |
| Language: | English |
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Mälardalens högskola, Institutionen för matematik och fysik
2006
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-4253 |