Pricing European Call Option in Scott’s Stochastic Volatility Model
University essay from Mälardalens högskola/Mälardalens högskola/Mälardalens högskolaAkademin för utbildning, kultur och kommunikation; Mälardalens högskola/Mälardalens högskola/Mälardalens högskolaAkademin för utbildning, kultur och kommunikation
Abstract:
In this paper, we derive pricing equations for the European call option under Scott’s stochastic volatility model and achieve a price for the European call option by creating a JAVA applet. Through certain times of simulating we can observe the tendency of the options price, as a result, which it can provide the necessary data for implementing the optimal strategies of investment.
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