摘要(英) |
First, we present the most well-known and popular of all stochastic volatility models, the Heston model, and provide a detailed derivation of the Heston European option valuation formula.
Second, for a model to be useful in practice, it needs to return the current market price of European options. That implies that we need to fit the parameters of our model to market implied volatilities and explain how to calibrate the Heston model to market data.
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參考文獻 |
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Rouah F. D. (2013),“The Heston Model and its Extensions in Matlab and C#”,
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