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Results tagged with option-pricing
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user 28261
Questions about models for the valuation of option contracts.
0
votes
1
answer
253
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Heston Discretization dt
I’m trying to figure out the discretization of the Heston model. In the choice of dt, I have seen several ways that people specify this number. Would it not just be 1/n where n is the number time step …
- 111
1
vote
1
answer
395
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Black (1976) model growth rate input for futures price
When using the Black 76 model for pricing European index options I've often seen people use 2 different rates: the typical risk free rate used to get the discount factor, and a growth rate used to get …
- 111
3
votes
1
answer
524
views
Heston Monte Carlo or FFT Pricing
I am trying to better understand the Heston model and its implementation. It seems like a lot of people use the FFT method for calculating the call prices during the Heston calibration, but the Monte …
- 111