The Heston model and its extensions in Matlab and C#
Bewaard in:
| Hoofdauteur: | |
|---|---|
| Coauteur: | |
| Formaat: | Elektronisch E-boek |
| Taal: | Engels |
| Gepubliceerd in: |
Hoboken, N.J. :
John Wiley & Sons, Inc.,
2013.
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| Reeks: | Wiley finance series
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| Onderwerpen: | |
| Online toegang: | An electronic book accessible through the World Wide Web; click to view |
| Tags: |
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Inhoudsopgave:
- The Heston model for European options
- Integration issues, parameter effects, and variance modeling
- Derivations using the Fourier transform
- The fundamental approach to pricing options.