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Description: This document covers various aspects the Heston model. The structure
and topics covered is as follows:
Chapter 1 introduces the model and provides theoretical and graphical
motivation for its robustness and hence popularity. It also discusses
pricing using the Partial Differential Equation and Equivalent Martingale
Measure techniques
Chapter 2 discusses how the different components of the model can be
evaluated computationally and how this can be achieved with different
methods. These methods are then compared to each other.
Chapter 3 addresses the calibration problem. Different methods are
presented as well as practical implementation, results thereof, and comparisons.
All the MATLAB code required to implement the model is provided in
the appendix
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Author: alazio |
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Description: Heston金融模型中European Call Option的定价，使用欧拉方法-Prcing European Call option under the Heston Model. Using Euler Scheme.
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Size: 2048 |
Author: zhang yizhi |
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Description: Heston Model Stochastic Volatility
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Size: 1024 |
Author: ron |
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Description: Heston Model option pricings and comparison-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).
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Size: 8192 |
Author: 陈彦 |
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Description: Finite element method Heston model matlab code
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Size: 45056 |
Author: 徐瑜 |
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Description: heston期权定价模型，参数calibration程序-heston model parameter calibration program
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Size: 4096 |
Author: 0x01 |
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Description: Hestion期权定价模型的波动方程中参数的广义矩估计-Generalized wave equation parameters of Heston option pricing model Moment Estimation
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Size: 100352 |
Author: 李福兴 |
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Description: Heston期权定价模型的蒙托卡罗模拟。调用fun函数即可运行-Generalized wave equation parameters of Heston option pricing model Moment Estimation
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Size: 1024 |
Author: 李福兴 |
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Description: Calibrating option pricing models to market prices often leads to optimisation
problems to which standard methods (like such based on gradients) cannot be
applied. We investigate two models: Heston’s stochastic volatility model, and
Bates’s model which also includes jumps. We discuss how to price options under
these models, and how to calibrate the parameters of the models with heuristic
techniques.
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Size: 963584 |
Author: adel |
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Description: GAUSS has two electronic help systems, corresponding to the GAUSS pdf manuals (available at
http://www.aptech.com).
1. The Command Reference is an easy way to pick up information on commands (as long as
they are not deemed obsolete ), and is organised both alphbetically and by function, which
is useful. It is very terse.
2. The User Guide is slightly more chatty, and has more examples.
-GAUSS has two electronic help systems, corresponding to the GAUSS pdf manuals (available at
http://www.aptech.com).
1. The Command Reference is an easy way to pick up information on commands (as long as
they are not deemed obsolete ), and is organised both alphbetically and by function, which
is useful. It is very terse.
2. The User Guide is slightly more chatty, and has more examples.
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Size: 690176 |
Author: fahad |
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Description: heston pricer with monte carlo
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Size: 1024 |
Author: xasdasfas
|
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Description: heston option pricer
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Size: 2048 |
Author: xasdasfas
|
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