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consider the Heston stochastic volatility model d.S S dv = K(0_v)dt + o udz = rdt + odz dzdz = pdt. Assume r =
consider the Heston stochastic volatility model d.S S dv = K(0_v)dt + o udz = rdt + odz dzdz = pdt. Assume r = 0.03, K2, 0 = 0.162, o = 0.2, p = _0.8. If the current stock price is 100 USD, current instantaneous stock return variance is 0.1, find the price of a European call option with 1 year to expiry with a strike of 100 USD. The option price is? consider the Heston stochastic volatility model d.S S dv = K(0_v)dt + o udz = rdt + odz dzdz = pdt. Assume r = 0.03, K2, 0 = 0.162, o = 0.2, p = _0.8. If the current stock price is 100 USD, current instantaneous stock return variance is 0.1, find the price of a European call option with 1 year to expiry with a strike of 100 USD. The option price is?
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An Introduction to the Mathematics of Financial Derivatives
Authors: Ali Hirsa, Salih N. Neftci
3rd edition
012384682X, 978-0123846822
