Option valuation with the Heston model

Detalhes bibliográficos
Autor(a) principal: Ehlert, Yannik
Data de Publicação: 2022
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10071/26228
Resumo: This thesis is divided into two parts. The first part explains the theoretical background of option valuation and guides through the actual derivation of the Heston Model. The model is explained, examined and optimized. To value American options in the Heston model as well, the Finite Difference Method is applied in the Heston Model. For a comparison, the Black-Scholes-Merton Model and the Cox-Ross-Rubinstein Model are introduced. The second part deals with more practical topics: a parameter analysis, the calibration of the model using real market data and the actual calculation of European and American option prices with the Heston Model and mentioned peer models. For the application of the model and the derivation of all graphical content, the MATLAB program is used. The general focus lies in the determination of the quality of the model, which be examined by comparing the Heston values to the real market data and the peer model values. The results are critically evaluated in terms of accuracy and effort. Finally, advantages and disadvantages of the Heston Model will be discussed in extension.
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spelling Option valuation with the Heston modelAmerican optionsHeston modelVolatilidade -- VolatilityOpções AmericanasModelo de HestonThis thesis is divided into two parts. The first part explains the theoretical background of option valuation and guides through the actual derivation of the Heston Model. The model is explained, examined and optimized. To value American options in the Heston model as well, the Finite Difference Method is applied in the Heston Model. For a comparison, the Black-Scholes-Merton Model and the Cox-Ross-Rubinstein Model are introduced. The second part deals with more practical topics: a parameter analysis, the calibration of the model using real market data and the actual calculation of European and American option prices with the Heston Model and mentioned peer models. For the application of the model and the derivation of all graphical content, the MATLAB program is used. The general focus lies in the determination of the quality of the model, which be examined by comparing the Heston values to the real market data and the peer model values. The results are critically evaluated in terms of accuracy and effort. Finally, advantages and disadvantages of the Heston Model will be discussed in extension.Esta tese está dividida em duas partes. A primeira parte explica os fundamentos teóricos da avaliação de opções e explica a derivação do modelo de Heston. O modelo é derivado, examinado e otimizado. Para avaliar as opções americanas também no modelo de Heston, o Método das Diferenças Finitas é aplicado no modelo de Heston. Para comparação, são apresentados o modelo Black-Scholes-Merton e o modelo de Cox-Ross-Rubinstein. A segunda parte trata de tópicos mais práticos: uma análise de parâmetros, a calibração do modelo usando dados reais de mercado e o cálculo real de preços de opções europeias e americanas com o modelo de Heston e os modelos alternativos mencionados. Para a aplicação do modelo e a derivação de todo o conteúdo gráfico, é utilizado o programa MATLAB. O foco geral está na determinação da qualidade do modelo, que será examinada comparando os valores de Heston com os dados reais do mercado e os valores dos modelos que assumem um movimento Browniano geométrico. Os resultados são avaliados criticamente em termos de precisão e esforço computacional. Por fim, vantagens e desvantagens do modelo de Heston serão discutidas.2022-10-10T13:36:48Z2022-09-23T00:00:00Z2022-09-232022-07info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10071/26228TID:203071930engEhlert, Yannikinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-09T17:46:49Zoai:repositorio.iscte-iul.pt:10071/26228Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:22:37.209569Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Option valuation with the Heston model
title Option valuation with the Heston model
spellingShingle Option valuation with the Heston model
Ehlert, Yannik
American options
Heston model
Volatilidade -- Volatility
Opções Americanas
Modelo de Heston
title_short Option valuation with the Heston model
title_full Option valuation with the Heston model
title_fullStr Option valuation with the Heston model
title_full_unstemmed Option valuation with the Heston model
title_sort Option valuation with the Heston model
author Ehlert, Yannik
author_facet Ehlert, Yannik
author_role author
dc.contributor.author.fl_str_mv Ehlert, Yannik
dc.subject.por.fl_str_mv American options
Heston model
Volatilidade -- Volatility
Opções Americanas
Modelo de Heston
topic American options
Heston model
Volatilidade -- Volatility
Opções Americanas
Modelo de Heston
description This thesis is divided into two parts. The first part explains the theoretical background of option valuation and guides through the actual derivation of the Heston Model. The model is explained, examined and optimized. To value American options in the Heston model as well, the Finite Difference Method is applied in the Heston Model. For a comparison, the Black-Scholes-Merton Model and the Cox-Ross-Rubinstein Model are introduced. The second part deals with more practical topics: a parameter analysis, the calibration of the model using real market data and the actual calculation of European and American option prices with the Heston Model and mentioned peer models. For the application of the model and the derivation of all graphical content, the MATLAB program is used. The general focus lies in the determination of the quality of the model, which be examined by comparing the Heston values to the real market data and the peer model values. The results are critically evaluated in terms of accuracy and effort. Finally, advantages and disadvantages of the Heston Model will be discussed in extension.
publishDate 2022
dc.date.none.fl_str_mv 2022-10-10T13:36:48Z
2022-09-23T00:00:00Z
2022-09-23
2022-07
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/10071/26228
TID:203071930
url http://hdl.handle.net/10071/26228
identifier_str_mv TID:203071930
dc.language.iso.fl_str_mv eng
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instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
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repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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