Abstract
In this thesis we use the Heston model to value European call options. We calibrate the Heston model according to two loss functions $MSE and %MSE. We find that the use of loss function impacts the parameters of our calibration. Furthermore we find that the parameter space is characterized by multiple local minima. Therefore great care has to be taken when calibrating the model, especially then picking θ. Finally we observe that our calibration experience numerical difficulties when faced with a low option price.
Uddannelser | Cand.merc.mat Erhvervsøkonomi og Matematik, (Kandidatuddannelse) Afsluttende afhandling |
---|---|
Sprog | Dansk |
Udgivelsesdato | 15 maj 2024 |
Antal sider | 35 |