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Option pricing in Heston model by means of weak approximations
Author(s) -
Antanas Lenkšas,
Vigirdas Mackevičius
Publication year - 2013
Publication title -
lietuvos matematikos rinkinys
Language(s) - English
Resource type - Journals
eISSN - 2335-898X
pISSN - 0132-2818
DOI - 10.15388/lmr.a.2013.08
Subject(s) - heston model , econometrics , approximations of π , economics , mathematics , stochastic volatility , financial economics , sabr volatility model , volatility (finance)
We apply weak split-step approximations of the Heston model for evaluation of put and call option prices in this model.

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