Journal of Applied Mathematics

Research Article

Valuing Options in Heston's Stochastic Volatility Model: Another Analytical Approach

Table 1

European option prices in Heston's stochastic volatility model for different asset prices and maturities . Fixed parameters are , , , , , , , , and .


	Puts				Calls
	H	H(RCA)	MT	Diff	H	H(RCA)	MT	Diff

(80; 0.25)	19.8379	19.8379	19.8379		0.4339	0.4339	0.4339
(90; 0.25)	11.6806	11.6806	11.6806		2.2267	2.2268	2.2268
(100; 0.25)	5.9508	5.9508	5.9508		6.4471	6.4471	6.4471
(110; 0.25)	2.6708	2.6708	2.6708		13.1172	13.1173	13.1173
(120; 0.25)	1.0870	1.0870	1.0870		21.4835	21.4835	21.4835

(80; 0.5)	20.5221	20.5221	20.5221		1.7062	1.7062	1.7062
(90; 0.5)	13.5342	13.5342	13.5342		4.6188	4.6188	4.6188
(100; 0.5)	8.4302	8.4302	8.4302		9.4153	9.4153	9.4153
(110; 0.5)	5.0232	5.0232	5.0232		15.9088	15.9088	15.9088
(120; 0.5)	2.8995	2.8995	2.8995		23.6856	23.6856	23.6856

(80; 1.0)	22.1413	22.1413	22.1413		4.4783	4.4782	4.4783
(90; 1.0)	16.2923	16.2923	16.2923		8.4312	8.4312	8.4312
(100; 1.0)	11.7819	11.7819	11.7819		13.7229	13.7229	13.7229
(110; 1.0)	8.4207	8.4207	8.4207		20.1636	20.1636	20.1636
(120; 1.0)	5.9755	5.9755	5.9755		27.5204	27.5204	27.5204

(80; 2.0)	24.5972	24.5972	24.5972		9.1487	9.1487	9.1487
(90; 2.0)	19.8041	19.8041	19.8041		13.9635	13.9635	13.9635
(100; 2.0)	15.9136	15.9136	15.9136		19.6809	19.6809	19.6809
(110; 2.0)	12.7852	12.7852	12.7852		26.1604	26.1604	26.1604
(120; 2.0)	10.2833	10.2833	10.2833		33.2664	33.2664	33.2664

(80; 3.0)	26.1731	26.1731	26.1731		12.8222	12.8222	12.8222
(90; 3.0)	21.9865	21.9865	21.9865		18.0533	18.0533	18.0533
(100; 3.0)	18.5011	18.5011	18.5011		23.9855	23.9855	23.9855
(110; 3.0)	15.6055	15.6055	15.6055		30.5076	30.5076	30.5076
(120; 3.0)	13.2004	13.2004	13.2004		37.5201	37.5201	37.5201