Compares the option prices obtained using the analytical Heston formula (1993) and the FFT method (Carr-Madan formula via FFT+ Simpson s, Carr-Madan using adaptive Gauss-Kronrod quadrature, and Lipton s formula using adaptive Gauss-Kronrod quadrature).

HestonFFTVanilla.m
__MACOSX
........\._HestonFFTVanilla.m
HestonVanilla.m
__MACOSX\._HestonVanilla.m
HestonVanillaLipton.m
__MACOSX\._HestonVanillaLipton.m
STFhes03.m
__MACOSX\._STFhes03.m

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