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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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
Materias:
Acceso en línea:http://repository.urosario.edu.co/handle/10336/14418
id ir-10336-14418
recordtype dspace
institution EdocUR - Universidad del Rosario
collection DSpace
language Español (Spanish)
topic Heston model
USD-COP
Fourier pricing
Gaussian cuadrature
Newton cotes
Producción
Precios
Modelos econométricos
spellingShingle Heston model
USD-COP
Fourier pricing
Gaussian cuadrature
Newton cotes
Producción
Precios
Modelos econométricos
Lázaro Salcedo, Javier Jaher Alfonso
An accurate heston implementation with Usd-Cop Data
description 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 = 10000000, to find which combination of Heston pricing process and numerical schems leads to a computationally faster and more accurate price process. Two equivalent pricing methods and seven numerical schemes are calculated in order to find wich combination take less time to be compute and is closes to the benchmark as posible. The study uses Q-measure in the sense of spot data, and the other P-measure in the sense of historical data. That mean the study calculate two parameter sets. one under mesure Q and other under P by Maximum Likelihood and non-linear least square function, respectively, to somehow proof the conclution dose not depents on how the parameter are found. Study stands that the accuraste way to calculate the Heston price in the Colombian FX market data used is consolidating the integrals for the probability P1 and P2 that the original framework propose and solve the integral using Gauss-Legendre or Gauss-Laguerre.
author2 Serrano, Rafael
author_facet Serrano, Rafael
Lázaro Salcedo, Javier Jaher Alfonso
format Tesis de maestría (Master Thesis)
author Lázaro Salcedo, Javier Jaher Alfonso
author_sort Lázaro Salcedo, Javier Jaher Alfonso
title An accurate heston implementation with Usd-Cop Data
title_short An accurate heston implementation with Usd-Cop Data
title_full An accurate heston implementation with Usd-Cop Data
title_fullStr An accurate heston implementation with Usd-Cop Data
title_full_unstemmed An accurate heston implementation with Usd-Cop Data
title_sort accurate heston implementation with usd-cop data
publisher Universidad del Rosario
publishDate 2018
url http://repository.urosario.edu.co/handle/10336/14418
_version_ 1645142058426433536
spelling ir-10336-144182019-09-19T12:37:54Z An accurate heston implementation with Usd-Cop Data Lázaro Salcedo, Javier Jaher Alfonso Serrano, Rafael Heston model USD-COP Fourier pricing Gaussian cuadrature Newton cotes Producción Precios Modelos econométricos 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 = 10000000, to find which combination of Heston pricing process and numerical schems leads to a computationally faster and more accurate price process. Two equivalent pricing methods and seven numerical schemes are calculated in order to find wich combination take less time to be compute and is closes to the benchmark as posible. The study uses Q-measure in the sense of spot data, and the other P-measure in the sense of historical data. That mean the study calculate two parameter sets. one under mesure Q and other under P by Maximum Likelihood and non-linear least square function, respectively, to somehow proof the conclution dose not depents on how the parameter are found. Study stands that the accuraste way to calculate the Heston price in the Colombian FX market data used is consolidating the integrals for the probability P1 and P2 that the original framework propose and solve the integral using Gauss-Legendre or Gauss-Laguerre. 2018-02-15 2018-02-20T12:03:54Z info:eu-repo/semantics/masterThesis info:eu-repo/semantics/acceptedVersion http://repository.urosario.edu.co/handle/10336/14418 spa info:eu-repo/semantics/openAccess application/pdf Universidad del Rosario Maestría en Finanzas Cuantitativas Facultad de Economía reponame:Repositorio Institucional EdocUR instname:Universidad del Rosario C. Alexander, Market risk analysis, pricing, hedging and trading financial instruments, Market Risk Analysis, Wiley, 2008. 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