Article Dans Une Revue International Journal of Theoretical and Applied Finance Année : 2013

Monotonicity of Prices in Heston Model

Résumé

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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hal-00678437 , version 1 (12-03-2012)
hal-00678437 , version 2 (19-03-2012)
hal-00678437 , version 3 (16-08-2012)
hal-00678437 , version 4 (27-05-2013)

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Sidi Mohamed Ould Aly. Monotonicity of Prices in Heston Model. International Journal of Theoretical and Applied Finance, 2013, 16 (3), pp.1350016. ⟨10.1142/S0219024913500167⟩. ⟨hal-00678437v4⟩
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