On the numerical methods for the Heston model
Autor(a) principal: | |
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Data de Publicação: | 2017 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/19486 |
Resumo: | In this thesis we revisit numerical methods for the simulation of the Heston model’sEuropean call. Specifically, we study the Euler, the Kahl-Jackel an two versions of theexact algorithm schemes. To perform this task, firstly we present a literature reviewwhich brings stochastic calculus, the Black-Scholes (BS) model and its limitations,the stochastic volatility methods and why they resolve the issues of the BS model,and the peculiarities of the numerical methods. We provide recommendations whenwe acknowledge that the reader might need more specifics and might need to divedeeper into a given topic. We introduce the methods aforementioned providing all ourimplementations in R language within a package. |
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Teixeira, Fernando OrmondeEscolas::EMApSaporito, Yuri FahhamRamos, Fábio Antonio TavaresCruz Cancino, Hugo Alexander de la2017-12-22T17:16:31Z2017-12-22T17:16:31Z2017-09-29http://hdl.handle.net/10438/19486In this thesis we revisit numerical methods for the simulation of the Heston model’sEuropean call. Specifically, we study the Euler, the Kahl-Jackel an two versions of theexact algorithm schemes. To perform this task, firstly we present a literature reviewwhich brings stochastic calculus, the Black-Scholes (BS) model and its limitations,the stochastic volatility methods and why they resolve the issues of the BS model,and the peculiarities of the numerical methods. We provide recommendations whenwe acknowledge that the reader might need more specifics and might need to divedeeper into a given topic. We introduce the methods aforementioned providing all ourimplementations in R language within a package.engHestonStochasticVolatilityBlack-ScholesEuropean callRMatemáticaAnálise estocásticaMétodos de simulaçãoAnálise numéricaVolatilidade (Finanças)On the numerical methods for the Heston modelinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessTEXTDownload File (1).pdf.txtDownload File (1).pdf.txtExtracted texttext/plain68157https://repositorio.fgv.br/bitstreams/68232fab-8f59-43aa-9500-5f6d09dced41/downloadb819fcac730ba03027ae6d04bdc2a8eaMD56LICENSElicense.txtlicense.txttext/plain; charset=utf-84707https://repositorio.fgv.br/bitstreams/6b57d72b-892e-4fd8-9823-9003f12aa8fc/downloaddfb340242cced38a6cca06c627998fa1MD52ORIGINALDownload File (1).pdfDownload File 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dc.title.eng.fl_str_mv |
On the numerical methods for the Heston model |
title |
On the numerical methods for the Heston model |
spellingShingle |
On the numerical methods for the Heston model Teixeira, Fernando Ormonde Heston Stochastic Volatility Black-Scholes European call R Matemática Análise estocástica Métodos de simulação Análise numérica Volatilidade (Finanças) |
title_short |
On the numerical methods for the Heston model |
title_full |
On the numerical methods for the Heston model |
title_fullStr |
On the numerical methods for the Heston model |
title_full_unstemmed |
On the numerical methods for the Heston model |
title_sort |
On the numerical methods for the Heston model |
author |
Teixeira, Fernando Ormonde |
author_facet |
Teixeira, Fernando Ormonde |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EMAp |
dc.contributor.member.none.fl_str_mv |
Saporito, Yuri Fahham Ramos, Fábio Antonio Tavares |
dc.contributor.author.fl_str_mv |
Teixeira, Fernando Ormonde |
dc.contributor.advisor1.fl_str_mv |
Cruz Cancino, Hugo Alexander de la |
contributor_str_mv |
Cruz Cancino, Hugo Alexander de la |
dc.subject.eng.fl_str_mv |
Heston Stochastic Volatility Black-Scholes European call R |
topic |
Heston Stochastic Volatility Black-Scholes European call R Matemática Análise estocástica Métodos de simulação Análise numérica Volatilidade (Finanças) |
dc.subject.area.por.fl_str_mv |
Matemática |
dc.subject.bibliodata.por.fl_str_mv |
Análise estocástica Métodos de simulação Análise numérica Volatilidade (Finanças) |
description |
In this thesis we revisit numerical methods for the simulation of the Heston model’sEuropean call. Specifically, we study the Euler, the Kahl-Jackel an two versions of theexact algorithm schemes. To perform this task, firstly we present a literature reviewwhich brings stochastic calculus, the Black-Scholes (BS) model and its limitations,the stochastic volatility methods and why they resolve the issues of the BS model,and the peculiarities of the numerical methods. We provide recommendations whenwe acknowledge that the reader might need more specifics and might need to divedeeper into a given topic. We introduce the methods aforementioned providing all ourimplementations in R language within a package. |
publishDate |
2017 |
dc.date.accessioned.fl_str_mv |
2017-12-22T17:16:31Z |
dc.date.available.fl_str_mv |
2017-12-22T17:16:31Z |
dc.date.issued.fl_str_mv |
2017-09-29 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/19486 |
url |
http://hdl.handle.net/10438/19486 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.source.none.fl_str_mv |
reponame:Repositório Institucional do FGV (FGV Repositório Digital) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
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Repositório Institucional do FGV (FGV Repositório Digital) |
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