Monte Carlo Simulation of Heston Model in MATLAB GUI
Responsible organisation
2006 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE credits
Student 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. , p. 48
Keywords [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, id: diva2:126535
Presentation
(English)
Uppsok
Supervisors
Examiners
2010-04-082008-11-192010-04-08Bibliographically approved