Journal of Applied Mathematics / 2011 / Article / Tab 3 / Research Article
Valuing Options in Heston's Stochastic Volatility Model: Another Analytical Approach Table 3 Delta values of European option prices in Heston's stochastic volatility model for different asset prices
š
and maturities
š
. Fixed parameters are
š
=
1
0
0
,
š
=
0
.
0
6
,
š
=
0
.
0
3
,
š
=
0
.
1
6
,
š
=
3
,
š
=
0
.
1
6
,
š
=
0
.
1
,
š
=
ā
0
.
7
5
, and
š
=
2
.
Puts Calls
(
š
,
š
)
Ī
š»
Ī
š»
(
š
š¶
š“
)
Ī
š
š
Diff
Ī
š»
Ī
š»
(
š
š¶
š“
)
Ī
š
š
Diff (80; 0.25) ā0.8318 ā0.8318 ā0.8318
2
.
4
ā
1
0
ā
7
0.1607 0.1607 0.1607
2
.
4
ā
1
0
ā
7
(90; 0.25) ā0.6422 ā0.6422 ā0.6422
2
.
4
ā
1
0
ā
7
0.3503 0.3503 0.3503
2
.
4
ā
1
0
ā
7
(100; 0.25) ā0.4348 ā0.4348 ā0.4348
2
.
4
ā
1
0
ā
7
0.5578 0.5578 0.5578
2
.
4
ā
1
0
ā
7
(110; 0.25) ā0.2625 ā0.2625 ā0.2625
2
.
4
ā
1
0
ā
7
0.7300 0.7300 0.7300
2
.
4
ā
1
0
ā
7
(120; 0.25) ā0.1447 ā0.1447 ā0.1447
2
.
5
ā
1
0
ā
7
0.8479 0.8479 0.8479
2
.
5
ā
1
0
ā
7
(80; 0.5) ā0.7118 ā0.7118 ā0.7118
4
.
8
ā
1
0
ā
7
0.2734 0.2734 0.2734
4
.
8
ā
1
0
ā
7
(90; 0.5) ā0.5558 ā0.5558 ā0.5558
4
.
8
ā
1
0
ā
7
0.4294 0.4294 0.4294
4
.
8
ā
1
0
ā
7
(100; 0.5) ā0.4085 ā0.4085 ā0.4085
4
.
8
ā
1
0
ā
7
0.5766 0.5766 0.5766
4
.
8
ā
1
0
ā
7
(110; 0.5) ā0.2863 ā0.2863 ā0.2863
4
.
8
ā
1
0
ā
7
0.6988 0.6988 0.6988
4
.
7
ā
1
0
ā
7
(120; 0.5) ā0.1936 ā0.1936 ā0.1936
4
.
8
ā
1
0
ā
7
0.7915 0.7915 0.7915
4
.
8
ā
1
0
ā
7
(80; 1.0) ā0.5892 ā0.5892 ā0.5892
8
.
6
ā
1
0
ā
8
0.3812 0.3812 0.3812
8
.
6
ā
1
0
ā
8
(90; 1.0) ā0.4738 ā0.4738 ā0.4738
8
.
7
ā
1
0
ā
8
0.4966 0.4966 0.4966
8
.
7
ā
1
0
ā
8
(100; 1.0) ā0.3723 ā0.3723 ā0.3723
8
.
6
ā
1
0
ā
8
0.5981 0.5981 0.5981
8
.
6
ā
1
0
ā
8
(110; 1.0) ā0.2878 ā0.2878 ā0.2878
8
.
0
ā
1
0
ā
8
0.6827 0.6827 0.6827
8
.
0
ā
1
0
ā
8
(120; 1.0) ā0.2199 ā0.2199 ā0.2199
8
.
6
ā
1
0
ā
8
0.7505 0.7505 0.7505
8
.
6
ā
1
0
ā
8
(80; 2.0) ā0.4684 ā0.4684 ā0.4684
1
.
7
ā
1
0
ā
7
0.4733 0.4733 0.4733
1
.
7
ā
1
0
ā
7
(90; 2.0) ā0.3895 ā0.3895 ā0.3895
1
.
7
ā
1
0
ā
7
0.5523 0.5523 0.5523
1
.
7
ā
1
0
ā
7
(100; 2.0) ā0.3222 ā0.3222 ā0.3222
1
.
7
ā
1
0
ā
7
0.6196 0.6196 0.6196
1
.
7
ā
1
0
ā
7
(110; 2.0) ā0.2659 ā0.2659 ā0.2659
1
.
7
ā
1
0
ā
7
0.6758 0.6758 0.6758
1
.
7
ā
1
0
ā
7
(120; 2.0) ā0.2193 ā0.2193 ā0.2193
1
.
7
ā
1
0
ā
7
0.7224 0.7224 0.7224
1
.
7
ā
1
0
ā
7
(80; 3.0) ā0.3969 ā0.3969 ā0.3969
2
.
4
ā
1
0
ā
7
0.5170 0.5170 0.5170
2
.
4
ā
1
0
ā
7
(90; 3.0) ā0.3361 ā0.3361 ā0.3361
2
.
4
ā
1
0
ā
7
0.5779 0.5779 0.5779
2
.
4
ā
1
0
ā
7
(100; 3.0) ā0.2847 ā0.2847 ā0.2847
2
.
4
ā
1
0
ā
7
0.6292 0.6292 0.6292
2
.
4
ā
1
0
ā
7
(110; 3.0) ā0.2417 ā0.2417 ā0.2417
2
.
4
ā
1
0
ā
7
0.6723 0.6723 0.6723
2
.
4
ā
1
0
ā
7
(120; 3.0) ā0.2056 ā0.2056 ā0.2056
2
.
4
ā
1
0
ā
7
0.7083 0.7083 0.7083
2
.
4
ā
1
0
ā
7
