Journal of Applied Mathematics

Research Article

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

Table 2

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


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

(80; −1.00)	18.4620	18.4620	18.4620		0.1350	0.1350	0.1350
(100; −1.00)	5.0431	5.0431	5.0431		6.5170	6.5170	6.5170
(120; −1.00)	1.0353	1.0353	1.0353		22.3103	22.3103	22.3103

(80; −0.75)	18.5533	18.5533	18.5533		0.2263	0.2263	0.2263
(100; −0.75)	5.0403	5.0403	5.0403		6.5143	6.5143	6.5143
(120; −0.75)	0.9541	0.9541	0.9541		22.2291	22.2291	22.2291

(80; −0.50)	18.6413	18.6413	18.6413		0.3143	0.3143	0.3143
(100; −0.50)	5.0371	5.0371	5.0371		6.5111	6.5111	6.5111
(120; −0.50)	0.8695	0.8695	0.8695		22.1445	22.1445	22.1445

(80; −0.25)	18.7269	18.7269	18.7269		0.3999	0.3999	0.3999
(100; −0.25)	5.0332	5.0332	5.0332		6.5072	6.5072	6.5072
(120; −0.25)	0.7812	0.7812	0.7812		22.0562	22.0562	22.0562

(80; 0.00)	18.8104	18.8104	18.8104		0.4834	0.4834	0.4834
(100; 0.00)	5.0285	5.0285	5.0285		6.5025	6.5025	6.5025
(120; 0.00)	0.6887	0.6887	0.6887		21.9637	21.9637	21.9637

(80; 0.25)	18.8921	18.8921	18.8921		0.5651	0.5651	0.5651
(100; 0.25)	5.0229	5.0229	5.0229		6.4969	6.4969	6.4969
(120; 0.25)	0.5913	0.5913	0.5913		21.8663	21.8663	21.8663

(80; 0.50)	18.9721	18.9721	18.9721		0.6451	0.6451	0.6450
(100; 0.50)	5.0166	5.0166	5.0166		6.4906	6.4906	6.4906
(120; 0.50)	0.4882	0.4881	0.4881		21.7931	21.7630	21.7630

(80; 1.00)	19.1275	19.1275	19.1275		0.8005	0.8005	0.8005
(100; 1.00)	5.0027	5.0027	5.0027		6.4767	6.4767	6.4767
(120; 1.00)	0.2566	0.2566	0.2566		21.5316	21.5316	21.5316