Essays about: "heston model with matlab"
Found 1 essay containing the words heston model with matlab.
-
1. Pricing variance swaps by using two methods : replication strategy and a stochastic volatility model
University essay from Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)Abstract : In this paper we investigate pricing of variance swaps contracts. The literature is mostly dedicated to the pricing using replication with portfolio of vanilla options. In some papers the valuation with stochastic volatility models is discussed as well. Stochastic volatility is becoming more and more interesting to the investors. READ MORE
Result pages:
1