Pricing European Call Option in Scott’s Stochastic Volatility Model
In this paper, we derive pricing equations for the European call option under Scott’s stochastic volatility model and achieve a price for the European call option by creating a JAVA applet. Through certain times of simulating we can observe the tendency of the options price, as a result, which it c...
| Main Authors: | , |
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| Format: | Others |
| Language: | English |
| Published: |
Mälardalens högskola
2010
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-9847 |