Valuation of European Style Options with Heston Model. Heston Model

      Аннотация: This book presents general concepts of Black-Scholes model, Vasicek model, Cox-Ingersoll-Ross model, Hull-White model, Heston and Nandi model, Bates model, and Heston model. Nevertheless, the main focus is on the valuation of European style options with Heston model during periods of economic stability and economic crisis. The obtained results are compared to market prices and approaches derived from Black-Scholes model.

Ключевые слова: Option, volatility, Vasicek model, Black-Scholes model, Heston model, ‘the little Heston trap’