Blar i NTNU Open på forfatter "Våg, Andreas Brandsøy"
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Pricing Put Options using Heston's Stochastic Volatility Model
Våg, Andreas Brandsøy (Master thesis, 2013)The Heston model is a partial differential equation which is used to price options and is a further developed version of the more famous Black-Scholes equation. Heston considers stochastic volatility which results in an ...