Black-Scholes formula - a Heston approach

BRAND. Broad Research in Accounting, Negotiation, and Distribution

Volume: 6 | Issue: 1&2 | Paper number: 4.

Published January 13, 2016

Bogdan Patrut - Vasile Alecsandri University of Bacau (RO), Tiberiu Socaciu - Stefan cel Mare University of Suceava (RO),

Abstract

In this paper we will compare Black-Scholes formula with a particular case of Heston formula, both solutions of the same problem.

Keywords: Black-Scholes model, Heston model, comparing analytic solutions.

Academic discipline and sub-disciplines: Mathematics

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