The Heston model and its extensions in Matlab and C♯ /

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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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Rouah, Fabrice, 1964-
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Hoboken, New Jersey : John Wiley & Sons, Inc., [2013]
Colección:Wiley finance series.
Temas:
MATLAB.
Options (Finance) > Mathematical models.
Options (Finance) > Prices.
Finance > Mathematical models.
C# (Computer program language)
Options (Finances) > Modèles mathématiques.
Options (Finances) > Prix.
Finances > Modèles mathématiques.
C# (Langage de programmation)
BUSINESS & ECONOMICS > Investments & Securities > General.
C♯ (Computer program language)
Acceso en línea:Texto completo (Requiere registro previo con correo institucional)
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.

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