The Java applet for pricing Asian options under Heston’s model using the new Ninomiya weak approximation scheme and quasi-Monte Carlo
Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
This study is based on a new weak-approximation scheme for stochastic differential equations applied to the Heston stochastic volatility model. The scheme was published by Ninomiya and Ninomiya (2008) and is an extension of Kusuoka’s approximation scheme.
Ninomiya’s algorithm decomposes Kusuoka’s stochastic model into a set of ordinary differential equations with random coefficients and suggests several numerical optimisations for faster calculation.
The subject of this paper is a Java applet which calculates the price of an Asian option under the Heston model.
Place, publisher, year, edition, pages
2008. , 50 p.
Asian options, Ninomiya, pricing, Monte Carlo, quasi Monte Carlo
IdentifiersURN: urn:nbn:se:mdh:diva-7856OAI: oai:DiVA.org:mdh-7856DiVA: diva2:291881
Subject / course
2008-05-14, Mälardalens University, 00:00 (English)
Malyarenko, Anatoliy, Senior Lecturer
Silvestrov, Dmitrii, Professor