Browsing School of Biological, Physical, Mathematics & Actuarial Sciences by Subject "Heston’s Model"
Now showing items 1-3 of 3
-
A Combination of Dividend and Jump Diffusion Process on Heston Model in Deriving Black Scholes Equation
(International Journal of Statistics and Applied Mathematics, 12/10/2021)The reality that exists in a stock market situation is that assets do pay dividend to owners of assets or derivative securities. Dupire, Derman and Kani built an option pricing process with a dividend yielding diffusion ... -
Derivation of Black Scholes Equation Using Heston’s Model with Dividend Yielding Asset
(International Journal of Statistics and Applied Mathematics, 12/5/2021)Black Scholes formula is crucial in modern applied finance. Since the introduction of Black – Scholes concept model that assumes volatility is constant; several studies have proposed models that address the shortcomings ... -
Formulating Black Scholes Equation Using a Jump Diffusion Heston’s Model
(International Journal of Statistics and Applied Mathematics, 12/7/2021)In modern financial mathematics, accurate values are obtained by taking into account a considerable number of more realistic assumptions in logistic Black Scholes equation. The aspects considered here are cost of transactions ...
