The Heston model and its extensions in Matlab and C#
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| Corporate Author: | |
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Hoboken, N.J. :
John Wiley & Sons, Inc.,
2013.
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| Series: | Wiley finance series
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| Subjects: | |
| Online Access: | Click to View |
Table of Contents:
- The Heston model for European options
- Integration issues, parameter effects, and variance modeling
- Derivations using the Fourier transform
- The fundamental approach to pricing options.