| Title |
Option pricing in Heston model by means of weak approximations / |
| Another Title |
Silpnųjų aproksimacijų taikymas opcionų kainų skaičiavimui Hestono modelyje. |
| Authors |
Lenkšas, Antanas ; Mackevičius, Vigirdas |
| DOI |
10.15388/LMR.A.2013.08 |
| Full Text |
|
| Is Part of |
Lietuvos matematikos rinkinys. Ser. A.. Vilnius : Vilniaus universiteto leidykla. 2013, t. 54, p. 27-32.. ISSN 0132-2818. eISSN 2335-898X |
| Keywords [eng] |
Heston model ; simulation ; weak approximations ; split-step approximations ; call and put options |
| Abstract [eng] |
We apply weak split-step approximations of the Heston model for evaluation of put and call option prices in this model. |
| Published |
Vilnius : Vilniaus universiteto leidykla |
| Type |
Journal article |
| Language |
English |
| Publication date |
2013 |
| CC license |
|
