An accurate heston implementation with Usd-Cop Data

This study find by empirical evidence a fast and accurate way to calculate the price of a European Call using the Heston (1993) model. It calculate and uses a benchmark price calculated with the mentioned Heston 1993 pricing approaches and the trapezoidal rule with a = 1e-20000; b = 300; N = 1000000...

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Detalles Bibliográficos
Autor Principal: Lázaro Salcedo, Javier Jaher Alfonso
Otros Autores: Serrano, Rafael
Formato: Tesis de maestría (Master Thesis)
Lenguaje:Español (Spanish)
Publicado: Universidad del Rosario 2018
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