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Monte Carlo Simulation of Heston Model in MATLAB GUI
Mälardalen University, Department of Mathematics and Physics. Mälardalen University, School of Education, Culture and Communication.
Responsible organisation
2006 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

In the Black-Scholes model, the volatility considered being deterministic and it causes some

inefficiencies and trends in pricing options. It has been proposed by many authors that the

volatility should be modelled by a stochastic process. Heston Model is one solution to this

problem. To simulate the Heston Model we should be able to overcome the correlation

between asset price and the stochastic volatility. This paper considers a solution to this issue.

A review of the Heston Model presented in this paper and after modelling some investigations

are done on the applet.

Also the application of this model on some type of options has programmed by MATLAB

Graphical User Interface (GUI).

Place, publisher, year, edition, pages
Institutionen för matematik och fysik , 2006. , 48 p.
Keyword [en]
Financial Modelling, Exotic Option, Monte Carlo Simulation, Stochastic Volatility, Pricing Option, Heston Model, Black-Scholes Model, Stochastic Process, MatLab GUI.
Identifiers
URN: urn:nbn:se:mdh:diva-4253OAI: oai:DiVA.org:mdh-4253DiVA: diva2:126535
Presentation
(English)
Uppsok

Supervisors
Examiners
Available from: 2010-04-08 Created: 2008-11-19 Last updated: 2010-04-08Bibliographically approved

Open Access in DiVA

fulltext(630 kB)893 downloads
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File name FULLTEXT01.pdfFile size 630 kBChecksum MD5
Type fulltextMimetype application/pdf

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CiteExportLink to record
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Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
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Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
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Output format
  • html
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  • asciidoc
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