PRICING EUROPEAN OPTIONS IN SELECTED STOCHASTIC VOLATILITY MODELS

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Opublikowane:
Dec 23, 2020
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Tom 21 Nr 3 (2020)
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Arkadiusz Orzechowski
Institute of Risk and Financial Markets, Warsaw School of Economics – SGH, Poland
https://orcid.org/0000-0003-2872-189X

DOI: https://doi.org/10.22630/MIBE.2020.21.3.14
Słowa kluczowe : option pricing, the Heston model, the Bates model, characteristic functions
Abstrakt
In this paper four methods of calculating characteristic functions and their application to selected stochastic volatility models are considered. The methods applied are based on the assumption that the prices of European calls are evaluated numerically by means of the Gauss-Kronrod quadrature. Such approach is used to investigate computational efficiency of pricing European calls. Particular attention in this matter is paid to the speed of generating theoretical prices of the analyzed contracts.

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Jak cytować
Orzechowski, A. (2020). PRICING EUROPEAN OPTIONS IN SELECTED STOCHASTIC VOLATILITY MODELS. Metody Ilościowe W Badaniach Ekonomicznych, 21(3), 145–156. https://doi.org/10.22630/MIBE.2020.21.3.14
Bibliografia

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