Option pricing in Heston model by means of weak approximations
Articles
Antanas Lenkšas
Vilnius University
Vigirdas Mackevičius
Vilnius University
Published 2013-12-15
https://doi.org/10.15388/LMR.A.2013.08
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Keywords

Heston model
simulation
weak approximations
split-step approximations
call and put options

How to Cite

Lenkšas A. and Mackevičius V. (2013) “Option pricing in Heston model by means of weak approximations”, Lietuvos matematikos rinkinys, 54(A), pp. 27–32. doi: 10.15388/LMR.A.2013.08.

Abstract

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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