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The Heston model and its extensions in Matlab and C♯ /
Tap into the power of the most popular stochastic volatility model for pricing equity derivatives Since its introduction in 1993, the Heston model has become a popular model for pricing equity derivatives, and the most popular stochastic volatility model in financial engineering. This vital resource...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Hoboken, New Jersey :
John Wiley & Sons, Inc.,
[2013]
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| Colección: | Wiley finance series.
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| Temas: | |
| Acceso en línea: | Texto completo Texto completo |
| Sumario: | Tap into the power of the most popular stochastic volatility model for pricing equity derivatives Since its introduction in 1993, the Heston model has become a popular model for pricing equity derivatives, and the most popular stochastic volatility model in financial engineering. This vital resource provides a thorough derivation of the original model, and includes the most important extensions and refinements that have allowed the model to produce option prices that are more accurate and volatility surfaces that better reflect market conditions. The book's material is drawn from rese. |
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| Descripción Física: | 1 online resource |
| Bibliografía: | Includes bibliographical references and index. |
| ISBN: | 9781118695173 1118695178 9781118695180 1118695186 9781118695135 1118695135 9781118656471 1118656474 1118548256 9781118548257 |