Search - heston

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[matlab] nimalinmoodley DL : 0: 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
Update : 2025-04-02 Size : 367kb Publisher : alazio
[matlab] H_KL_iid DL : 0: 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.
Update : 2025-04-02 Size : 2kb Publisher : zhang yizhi
[Mathimatics-Numerical algorithms] heston DL : 0: Heston Model Stochastic Volatility
Update : 2025-04-02 Size : 1kb Publisher : ron
[matlab] Heston DL : 0: 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).
Update : 2025-04-02 Size : 8kb Publisher : 陈彦
[matlab] FiniteElement_HestonModel DL : 0: Finite element method Heston model matlab code
Update : 2025-04-02 Size : 44kb Publisher : 徐瑜
[Finance-Stock software system] HestonCalibration DL : 0: heston期权定价模型，参数calibration程序-heston model parameter calibration program
Update : 2025-04-02 Size : 4kb Publisher : 0x01
[matlab] GMM DL : 0: 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
Update : 2025-04-02 Size : 98kb Publisher : 李福兴
[DataMining] HestonCallQuad DL : 0: 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
Update : 2025-04-02 Size : 1kb Publisher : 李福兴
[Other] wps030 DL : 0: 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.
Update : 2025-04-02 Size : 941kb Publisher : adel
[DataMining] heston-summer-xls DL : 0: 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.
Update : 2025-04-02 Size : 674kb Publisher : fahad
[matlab] Heston_MCS DL : 0: heston pricer with monte carlo
Update : 2025-04-02 Size : 1kb Publisher : xasdasfas
[matlab] Heston DL : 0: heston option pricer
Update : 2025-04-02 Size : 2kb Publisher : xasdasfas