Monte Carlo Simulation Of Heston Model In Matlab(1)
1. Monte Carlo Simulation of Heston Model in MATLAB GUI and its Application to Options BACHELOR THESIS IN MATHEMATICS /APPLIED MATHEMATICS DEPARTMENT OF MATHEMATICS AND PHYSICS MÄLARDALEN UNIVERSITY Author Amir Kheirollah Supervisor Robin Lundgren Examiner Dmitrii Silvestrov
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16. Empirical Investigation – The Table Table 1: Data for Empirical Investigation Category Number of Iterations Black-Scholes (BLS) Price Heston Model Price Heston Model STD Heston Model MIN Heston Model MAX Heston Model COV Heston Model’s Relative Error from BLS 1 10 11,0666 11,3257 1,2997 7,8744 14,0729 1,6893 0,023413 2 100 11,0666 11,0667 0,4381 10,0278 12,2727 0,1919 9,04E-06 3 1000 11,0666 11,0632 0,1146 10,6927 11,2826 0,0131 0,000307 4 5000 11,0666 11,067 0,0567 10,9516 11,2267 0,0032 3,61E-05 5 10000 11,0666 11,0568 0,0402 10,9635 11,1486 0,0016 0,000886 6 25000 11,0666 11,0599 0,023 11,0006 11,1159 5,30E-04 0,000605 7 50000 11,0666 11,0601 0,0156 11,0249 11,0929 2,44E-04 0,000587
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22. MATLAB GUI Manual – Graphical Representation Opening window of the program HestonGUI.
25. MATLAB GUI Manual – Error-dialogue Windows Error-dialogue declaring the input can not be negative or non-numeric. Error-dialogue declaring the input can not be taken other than the interval. Error-dialogue declaring the input can not take zero, non-numeric or negative values. Error-dialogue windows of the program.