Option pricing in Heston model by means of weak approximations

Antanas Lenkšas; Vigirdas Mackevičius

doi:10.15388/LMR.A.2013.08

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.

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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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