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 the Heston Model we should be able to overcome the correlation between asset price and the stochastic volatility. This paper considers a solution to this issue. A review of the Heston Model presented in this paper and after modelling some investigations are done on the applet. Also the application of this model on some type of options has programmed by MATLAB Graphical User Interface (GUI).
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:mdh-4253 |
| Date | January 2006 |
| Creators | Kheirollah, Amir |
| Publisher | Mälardalens högskola, Institutionen för matematik och fysik, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, Institutionen för matematik och fysik |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, info:eu-repo/semantics/bachelorThesis, text |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
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