Power option pricing Under Heston model (Evidences of Tehran stock exchange)

In this paper, power option pricing is driven applying by daily information of Tehran stock exchange. The sample period of the study is from 1387 to 1397, when Tehran stock exchange index is approximately closed to Heston model. In this work, the considered pricing is done in two sections with different period of times. At first, The fast Fourier transform is applied for solving our main model. In the sequel the results of the considered pricing are shown that power option pricing can not follow the Heston model that means it causes the arbitrage situations in our considered market, Tehran stock exchange.