The Heston model and its extensions in Matlab and C♯
Tap into the power of the most popular stochastic volatility model for pricing equity derivatives Since its introduction in 1993, the Heston model has become a popular model for pricing equity derivatives, and the most popular stochastic volatility model in financial engineering. This vital resource provides a thorough derivation of the original model, and includes the most important extensions and refinements that have allowed the model to produce option prices that are more accurate and volat…
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- Full title :The Heston model and its extensions in Matlab and C♯ / Fabrice Douglas Rouah.
Summary
Tap into the power of the most popular stochastic volatility model for pricing equity derivatives Since its introduction in 1993, the Heston model has become a popular model for pricing equity derivatives, and the most popular stochastic volatility model in financial engineering. This vital resource provides a thorough derivation of the original model, and includes the most important extensions and refinements that have allowed the model to produce option prices that are more accurate and volatility surfaces that better reflect market conditions. The book's material is drawn from rese.
Read More ↓Edition Statements
- Publication Date:2013
Publication Statements
- Publisher(s):John Wiley & Sons, Inc
- Place of Publication:Hoboken, New Jersey
- Language:eng
- Publication Date:2013
The Physical Object
- Description:1 online resource
Edition Identifiers
- ISBN:9781118695173, 1118695178, 9781118695180, 1118695186, 9781118695135, 1118695135, 9781118656471, 1118656474, 1118548256, 9781118548257
- oclc:ocn844775004
- LC Classification:HG6024.A3
- Dewey Decimal:332.64/53028553
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.
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