Dell'Era, Mario (2010): Geometrical Considerations on Heston's Market Model. Forthcoming in: Quantitative Finanace

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Abstract
We propose to discuss a new technique to derive an good approximated solution for the price of a European call and put options, in a market model with stochastic volatility. In particular, the model that we have considered is the Heston's model. This allows arbitrary correlation between volatility and spot asset returns. We are able to write the price of European call and put, in the same form in which one can see in the BlackScholes model. The solution technique is based upon coordinate transformations that reduce the initial PDE in a straightforward onedimensional heat equation.
Item Type:  MPRA Paper 

Original Title:  Geometrical Considerations on Heston's Market Model 
English Title:  Geometrical Considerations on Heston's Market Model 
Language:  English 
Keywords:  Quantitative methods in Finance 
Subjects:  D  Microeconomics > D5  General Equilibrium and Disequilibrium > D53  Financial Markets D  Microeconomics > D4  Market Structure, Pricing, and Design > D46  Value Theory C  Mathematical and Quantitative Methods > C0  General C  Mathematical and Quantitative Methods > C0  General > C02  Mathematical Methods 
Item ID:  21523 
Depositing User:  Mario Dell'Era 
Date Deposited:  31 Mar 2010 06:46 
Last Modified:  28 Sep 2019 07:50 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/21523 