Browsing Mathematics (Faculty of) by Subject "Heston model calibration"
Now showing items 1-1 of 1
-
The Black-Scholes and Heston Models for Option Pricing
(University of Waterloo, 2013-05-22)Stochastic volatility models on option pricing have received much study following the discovery of the non-at implied surface following the crash of the stock markets in 1987. The most widely used stochastic volatility ...