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Two models of pricing European options are presented and compared in this paper, i.e. the Heston model and the double Heston model. As the models belong to the class of stochastic volatility models, particular attention is paid to the way the characteristic functions and their inverse Fourier transforms are determined. The aim of the study is to investigate computational efficiency of pricing European calls. The method applied is based on the assumption that the prices of the derivatives are evaluated by means of Gauss-Kronrod quadrature.
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Downloads
- Arkadiusz Orzechowski, PRICING EUROPEAN OPTIONS IN SELECTED STOCHASTIC VOLATILITY MODELS , Metody Ilościowe w Badaniach Ekonomicznych: Tom 21 Nr 3 (2020)
- Arkadiusz Orzechowski, IS THERE STILL ROOM FOR INCREASING SPEED IN ALGORITHMIC AND HIGH-FREQUENCY TRADING? THE CASE OF EUROPEAN OPTIONS PRICED IN THE HESTON MODEL , Metody Ilościowe w Badaniach Ekonomicznych: Tom 20 Nr 1 (2019)
- Arkadiusz Orzechowski, PRICING EUROPEAN OPTIONS IN THE VARIANCE GAMMA MODEL , Metody Ilościowe w Badaniach Ekonomicznych: Tom 20 Nr 1 (2019)
- Arkadiusz Orzechowski, WYCENA ASYMETRYCZNYCH OPCJI LOGARYTMICZNYCH ZA POMOCĄ TRANSFORMATY FOURIERA , Metody Ilościowe w Badaniach Ekonomicznych: Tom 19 Nr 3 (2018)
- Arkadiusz Orzechowski, ANALIZA WYCENY OPCJI EUROPEJSKICH W MODELU HULLA – WHITE’A , Metody Ilościowe w Badaniach Ekonomicznych: Tom 17 Nr 3 (2016)
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