<p>In the Black-Scholes model, the volatility considered being deterministic and it causes some</p><p>inefficiencies and trends in pricing options. It has been proposed by many authors that the</p><p>volatility should be modelled by a stochastic process. Heston Model is one solution to this</p><p>problem. To simulate the Heston Model we should be able to overcome the correlation</p><p>between asset price and the stochastic volatility. This paper considers a solution to this issue.</p><p>A review of the Heston Model presented in this paper and after modelling some investigations</p><p>are done on the applet.</p><p>Also the application of this model on some type of options has programmed by MATLAB</p><p>Graphical User Interface (GUI).</p>
| Identifer | oai:union.ndltd.org:UPSALLA/oai:DiVA.org:mdh-4253 |
| Date | January 2006 |
| Creators | Kheirollah, Amir |
| Publisher | Mälardalen University, Mälardalen University, Department of Mathematics and Physics, Institutionen för matematik och fysik |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, text |
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