Pricing Barrier Options in the Heston Model Using the Heath-Platen Estimator
Author | : Sema Coskun |
Publisher | : |
Total Pages | : 16 |
Release | : 2018 |
ISBN-10 | : OCLC:1304452493 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Download or read book Pricing Barrier Options in the Heston Model Using the Heath-Platen Estimator written by Sema Coskun and published by . This book was released on 2018 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: Both barrier options and the Heston stochastic volatility model are omnipresent in real-life applications of financial mathematics. Therefore, we apply the Heath-Platen (HP) estimator as first introduced by Heath and Platen to price barrier options in the Heston model setting as an alternative to conventional Monte Carlo methods and PDE based methods. We demonstrate the superior performance of the HP estimator via numerical examples and explain this performance by a detailed look at the underlying theoretical concept of the HP estimator.