The Heston model and its extensions in VBA /

"Practical options pricing for better-informed investment decisions. The Heston Model and Its Extensions in VBA is the definitive guide to options pricing using two of the derivatives industry's most powerful modeling tools--the Heston model, and VBA. Light on theory, this extremely useful...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Rouah, Fabrice, 1964-
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Hoboken, New Jersey : Wiley, 2015.
Temas:
Visual Basic for Applications (Computer program language)
Options (Finance) > Mathematical models.
Options (Finance) > Prices.
Finance > Mathematical models.
Options (Finances) > Modèles mathématiques.
Options (Finances) > Prix.
Finances > Modèles mathématiques.
BUSINESS & ECONOMICS > Finance.
Finance > Mathematical models
Options (Finance) > Mathematical models
Options (Finance) > Prices
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Front Matter
  • The Heston Model for European Options
  • Integration Issues, Parameter Effects, and Variance Modeling
  • Derivations Using the Fourier Transform
  • The Fundamental Transform for Pricing Options
  • Numerical Integration Schemes
  • Parameter Estimation
  • Simulation in the Heston Model
  • American Options
  • Time-Dependent Heston Models
  • Methods for Finite Differences
  • The Heston Greeks
  • The Double Heston Model.

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