A Comparative Study of Heston Pricing Model and BS Pricing Model–Based on 50 ETF Call Options

Jiashu Liu

Proceedings of the 3rd International Conference on Mathematical Statistics and Economic Analysis, MSEA 2024, May 24–26, 2024, Jinan, China

Research Article

A Comparative Study of Heston Pricing Model and BS Pricing Model–Based on 50 ETF Call Options

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Cite: BibTeX Plain Text

@INPROCEEDINGS{10.4108/eai.24-5-2024.2350044,
    author={Jiashu  Liu},
    title={A Comparative Study of Heston Pricing Model and BS Pricing Model--Based on 50 ETF Call Options},
    proceedings={Proceedings of the 3rd International Conference on Mathematical Statistics and Economic Analysis, MSEA 2024, May 24--26, 2024, Jinan, China},
    publisher={EAI},
    proceedings_a={MSEA},
    year={2024},
    month={10},
    keywords={heston model bs model pricing of options},
    doi={10.4108/eai.24-5-2024.2350044}
}

Jiashu Liu
Year: 2024
A Comparative Study of Heston Pricing Model and BS Pricing Model–Based on 50 ETF Call Options
MSEA
EAI
DOI: 10.4108/eai.24-5-2024.2350044

Jiashu Liu¹^,*

1: Southwestern University of Finance and Economics. Chengdu, China

*Contact email: 1277289178@qq.com

Abstract

The Heston model is an extension of the BS model. Among them, the volatility is no longer assumed to be constant and the variance follows a stochastic process. This paper compares the theoretical basis of the Heston model with the BS model, and options are priced and contrasted with ideal prices by using these two pricing models to find out which is better. The empirical analysis shows that Heston model has smaller errors for option pricing.

Keywords: heston model bs model pricing of options

Published: 2024-10-01
Publisher: EAI

: http://dx.doi.org/10.4108/eai.24-5-2024.2350044