Autori
Bruno, Maria Giuseppina
Grande, Antonio
Scarpitti, Maria Rita
Fava, Pierluigi

Titolo
Option pricing con volatilita'stocastica: analisi ed implementazione del modello di Heston
Periodico
Annali del Dipartimento di metodi e modelli per l'economia, il territorio e la finanza
Anno: 2019 - Volume: 20 - Pagina iniziale: 27 - Pagina finale: 41

The present work aims at evaluating options using the Heston model. This model is presented both from a theoreticaland a practical point of view. Initially, we review the salient mathematical steps that lead to its formulation. In particular, thehedging portfolio of the underlying asset price and variance is constructed in order to derive the exercise probability of the option.Afterward, some important aspects related to the implementation of the model are analyzed and the main numerical approaches arediscussed: the integration methods and the approaches based on the Fast Fourier Transform (FFT) and the Fractional Fast FourierTransform (FRFT). We then illustrate the minimization methods of the objective function useful to perform the calibration of themodel and, finally, we show the results of an empirical analysis carried out on real data



SICI: 2385-0825(2019)20<27:OPCVAE>2.0.ZU;2-R
Testo completo: https://web.uniroma1.it/memotef/sites/default/files/Annali-2019_27-41_BrunoMG_FavaP_GrandeA_ScarpittiMR.pdf

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