MONOTONICITY OF PRICES IN HESTON MODEL

S. M. Ould Aly ()
Additional contact information
S. M. Ould Aly: Universite Paris-Est, Laboratoire d'Analyse et de Mathmatiques Appliques, 5, boulevard Descartes, 77454 Marne-la-Valle Cedex 2, France

International Journal of Theoretical and Applied Finance (IJTAF), 2013, vol. 16, issue 03, 1-23

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.

Keywords: Heston model; monotonicity; put options; maximum principle; correlation (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0219024913500167
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:ijtafx:v:16:y:2013:i:03:n:s0219024913500167

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0219024913500167

Access Statistics for this article

International Journal of Theoretical and Applied Finance (IJTAF) is currently edited by L P Hughston

More articles in International Journal of Theoretical and Applied Finance (IJTAF) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().