A university project: Investigate four different Euler discretisation schemes for the Heston stochastic volatility model when the Feller condition fails. A simulation for pricing a European call option by MATLAB is provided.
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A university project: Investigate four different Euler discretisation schemes for the Heston stochastic volatility model when the Feller condition fails. A simulation for pricing a European call option by MATLAB is provided.
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A university project: Investigate four different Euler discretisation schemes for the Heston stochastic volatility model when the Feller condition fails. A simulation for pricing a European call option by MATLAB is provided.
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