Contact:Elizna Huysamen
- 021 808 3244
Location: Van der Sterr building, 2nd Floor, Room 2048
?The Heston stochastic volatility model is a more realistic model for the evolution of a stock price, S_t, compared to the Geometric Brownian motion of the Black Scholes model. Our interest is in evaluating the value of a call option for the Heston model. There are several competing numerical methods for evaluating the value of a call option. In this presentation I'm going to discuss the COS method for solving the Heston model.
