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...
| Autor Principal: | |
|---|---|
| Otros Colaboradores: | |
| Formato: | Tesis de maestría (Master Thesis) |
| Lenguaje: | Español (Spanish) |
| Publicado: |
Universidad del Rosario
2018
|
| Materias: | |
| Acceso en línea: | http://repository.urosario.edu.co/handle/10336/14418 |