Liu, Jiashu (2024) A Comparative Study of Heston Pricing Model and BS Pricing Model–Based on 50 ETF Call Options. In: Proceedings of the 3rd International Conference on Mathematical Statistics and Economic Analysis, MSEA 2024, May 24–26, 2024, Jinan, China.
![[thumbnail of 66180.pdf]](http://eprints.eai.eu/style/images/fileicons/application_pdf.png "66180.pdf")
PDF
66180.pdf
Download (299kB)
Abstract
The Heston model is an extension of the BS model. Among them, the volatility is no longer assumed to be constant and the variance follows a stochastic process. This paper compares the theoretical basis of the Heston model with the BS model, and options are priced and contrasted with ideal prices by
| Item Type: | Conference or Workshop Item (UNSPECIFIED) |
|---|---|
| Date Deposited: | 04 Mar 2026 18:02 |
| Last Modified: | 16 Apr 2026 22:42 |
| URI: | http://eprints.eai.eu/id/eprint/50855 |
Actions (login required)
- View Item