Valuing Options in Heston’s Stochastic Volatility Model: Another Analytical Approach

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dc.contributor.author Frontczak, Robert de_DE
dc.date.accessioned 2009-12-16 de_DE
dc.date.accessioned 2014-03-18T10:03:16Z
dc.date.available 2009-12-16 de_DE
dc.date.available 2014-03-18T10:03:16Z
dc.date.issued 2009 de_DE
dc.identifier.other 314552847 de_DE
dc.identifier.uri http://nbn-resolving.de/urn:nbn:de:bsz:21-opus-44222 de_DE
dc.identifier.uri http://hdl.handle.net/10900/47696
dc.description.abstract We are concerned with the valuation of European options in Heston's stochastic volatility model with correlation. Based on Mellin transforms we present new closed-form solutions for the price of European options and hedging parameters. In contrast to Fourier-based approaches where the transformation variable is usually the log-stock price at maturity, our framework focuses on transforming the current stock price. Our solution has the nice feature that similar to the approach of Carr and Madan (1999) it requires only a single integration. We make numerical tests to compare our results to Heston's solution based on Fourier inversion and investigate the accuracy of the derived pricing formulae. en
dc.language.iso en de_DE
dc.publisher Universität Tübingen de_DE
dc.rights ubt-podno de_DE
dc.rights.uri http://tobias-lib.uni-tuebingen.de/doku/lic_ohne_pod.php?la=de de_DE
dc.rights.uri http://tobias-lib.uni-tuebingen.de/doku/lic_ohne_pod.php?la=en en
dc.subject.classification Stochastik , Mellin-Transformation de_DE
dc.subject.ddc 330 de_DE
dc.subject.other Stochastic volatility , European option , Mellin transform en
dc.title Valuing Options in Heston’s Stochastic Volatility Model: Another Analytical Approach en
dc.type ResearchPaper de_DE
utue.publikation.fachbereich Wirtschaftswissenschaften de_DE
utue.publikation.fakultaet 6 Wirtschafts- und Sozialwissenschaftliche Fakultät de_DE
dcterms.DCMIType Text de_DE
utue.publikation.typ workingPaper de_DE
utue.opus.id 4422 de_DE
utue.opus.portal wiwidisk de_DE
utue.opus.portalzaehlung 326.00000 de_DE
utue.publikation.source Tübinger Diskussionsbeiträge der Wirtschaftswissenschaftlichen Fakultät ; 326 de_DE
utue.publikation.reihenname Tübinger Diskussionsbeitrag de_DE
utue.publikation.zsausgabe 326
utue.publikation.erstkatid 2136475-8

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