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Yi-Chen Shao

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Oct 2026

Monte Carlo Simulation of European Option Prices under the Heston Stochastic-Volatility Model

When volatility is not assumed to be constant, there are no closed-form solutions for the prices of European options; hence, numerical estimation is needed. In this paper, the accuracy and convergence of Monte Carlo simulation for pricing European call options under the Heston model is investigated. The empirical volat...

Yi-Chen Shao · 0 citations

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