| Sumario: | The study analyzes the Heston Model to determine the fair value of a European call option. It first presents a conceptual approach to options contracts, then discusses the Black-Scholes model as the benchmark for option pricing. The Heston Model is introduced as a more realistic framework, modeling implied volatility as a mean-reverting stochastic process driven by a Brownian motion and governed by a partial differential equation linking volatility to the asset price. A descriptive approach is used for theoretical aspects, while an analytical approach is applied in the empirical study. Model parameters are calibrated using the L-BFGS-B optimization algorithm to assess predictive accuracy. The model is then implemented in Python and compared with market data, including option prices and implied volatility. Results show that the model effectively captures volatility dynamics and performs well in pricing (OTM) and (ATM) options.
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