Monotonicity of Prices in Heston Model
(2013) In International Journal of Theoretical and Applied Finance 16(3).- Abstract
- In this article, we study the price monotonicity in the parameters of the Heston model for a contract with a convex pay-off function; in particular we consider European put options. We show that the price is increasing in the constant term in the drift of the variance process and decreasing in the coefficient of the linear term in the drift of variance 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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https://lup.lub.lu.se/record/d54851e0-4db7-447f-bd25-36fdf00dfd8a
- author
- Aly, Sidi Mohamed LU
- organization
- publishing date
- 2013-04-30
- type
- Contribution to journal
- publication status
- published
- subject
- in
- International Journal of Theoretical and Applied Finance
- volume
- 16
- issue
- 3
- article number
- 1350016
- pages
- 23 pages
- publisher
- World Scientific Publishing
- external identifiers
-
- scopus:84876842721
- ISSN
- 1793-6322
- DOI
- 10.1142/S0219024913500167
- language
- English
- LU publication?
- yes
- id
- d54851e0-4db7-447f-bd25-36fdf00dfd8a
- date added to LUP
- 2016-04-13 13:29:32
- date last changed
- 2022-01-30 02:39:01
@article{d54851e0-4db7-447f-bd25-36fdf00dfd8a, abstract = {{In this article, we study the price monotonicity in the parameters of the Heston model for a contract with a convex pay-off function; in particular we consider European put options. We show that the price is increasing in the constant term in the drift of the variance process and decreasing in the coefficient of the linear term in the drift of variance process. We also show that the price is increasing in the correlation for small values of the stock and decreasing for the large values.}}, author = {{Aly, Sidi Mohamed}}, issn = {{1793-6322}}, language = {{eng}}, month = {{04}}, number = {{3}}, publisher = {{World Scientific Publishing}}, series = {{International Journal of Theoretical and Applied Finance}}, title = {{Monotonicity of Prices in Heston Model}}, url = {{http://dx.doi.org/10.1142/S0219024913500167}}, doi = {{10.1142/S0219024913500167}}, volume = {{16}}, year = {{2013}}, }