Valuation of European Style Options with Heston Model

Heston Model

Tetiana Palivonta (Autor)

Buch | Softcover

120 Seiten

2015
AV Akademikerverlag
978-3-639-79025-2 (ISBN)

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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.

Tetiana Palivonta, BSc MSc.Studies in Applied Mathematics at the University of Crete and Quantitative Economics, Management and Finance at the University of Vienna.

Erscheint lt. Verlag	12.2.2015
Sprache	englisch
Maße	150 x 220 mm
Gewicht	176 g
Themenwelt	Sachbuch/Ratgeber ► Beruf / Finanzen / Recht / Wirtschaft ► Familienrecht
Schlagworte	Option
ISBN-10	3-639-79025-1 / 3639790251
ISBN-13	978-3-639-79025-2 / 9783639790252
Zustand	Neuware