The Heston model and its extensions in Matlab and C#
Gardado en:
| Autor Principal: | |
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| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | inglés |
| Publicado: |
Hoboken, N.J. :
John Wiley & Sons, Inc.,
2013.
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| Series: | Wiley finance series
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| Subjects: | |
| Acceso en liña: | An electronic book accessible through the World Wide Web; click to view |
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Table of Contents:
- The Heston model for European options
- Integration issues, parameter effects, and variance modeling
- Derivations using the Fourier transform
- The fundamental approach to pricing options.