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 |
Tabla de Contenidos:
- The Heston model for European options
- Integration issues, parameter effects, and variance modeling
- Derivations using the Fourier transform
- The fundamental approach to pricing options.