16763

16763

بررسي حل عددي مدل هستون در ارزش گذاري اختيارات معامله

كارشناسي ارشد

رياضي

مهر 1395

دكتر احمد گلبابايي

دكتر جليل رشيدي نيا

رياضي

1395/12/07

1/1/1900 12:00:00 AM

Abstract The aim of this study was to eva​luate the numerical methods in order to pricing of a European Call option on two underlying assets described by the Black–Scholes model an​d pricing of a European Call option by the Heston model. Numerical Solution of these models was studied to pricing European option under the improved radial basis functions using operator splitting time discretization scheme. In this thesis, in addition to introducing the above method, the Heston model was studied by finite difference an​d ADI numerical methods. Finally, according to the results, an improved radial basis function was better than finite difference method. This thesis is organized based on the following paper: L. V. Ballestra, an​d G. Pacelli. Pricing European an​d American options with two stochastic factors: A highly efficient radial basis function approach. Journal of Economic Dynamics Control, 37 (2013) 1142–1167 Keywords: Heston, Black-Scholes, European option, Operator Splitting scheme, improved radial basis function