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| HAL : hal-00678437, version 3 |
| Fiche détaillée |  Récupérer au format |
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| Versions disponibles : | v1 (13-03-2012) | v2 (19-03-2012) | v3 (16-08-2012) |
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| Monotonicity of Prices in Heston Model |
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| Sidi Mohamed Ould Aly 1 |
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| (15/12/2011) |
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| In this article, we study the price monotonicity in the parameters of the Heston model for a contract with a convex pay-o function and in particular for a put option. We show that the price is increasing in the constant term in the drift of the volatility process and decreasing in the coe cient of the linear term in the drift of volatility process. We also show that the price is increasing in the correlation for small values of the stock and decreasing for the large values. |
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| 1 : | Laboratoire d'Analyse et de Mathématiques Appliquées (LAMA) |
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Université Paris-Est Marne-la-Vallée (UPEMLV) – Université Paris-Est Créteil Val-de-Marne (UPEC) – CNRS : UMR8050 – Fédération de Recherche Bézout |
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| Domaine | : | Mathématiques/Probabilités |
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| Heston model – volatility – monnotony – correlation – CIR process. |
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| hal-00678437, version 3 | |
| http://hal.archives-ouvertes.fr/hal-00678437 | |
| oai:hal.archives-ouvertes.fr:hal-00678437 | |
| Contributeur : Sidi Mohamed Ould Aly | |
| Soumis le : Jeudi 16 Août 2012, 14:53:01 | |
| Dernière modification le : Jeudi 16 Août 2012, 14:54:20 | |
