-
Notifications
You must be signed in to change notification settings - Fork 2
An implementation of the Heston model, a stochastic volatility model for options pricing. We compute prices of European call and put options via Monte Carlo simulation, for a variety of strike prices and maturities. We also show that the Heston model captures volatility smiles/smirks/skews.
alichopping/Heston-Model
This commit does not belong to any branch on this repository, and may belong to a fork outside of the repository.
Folders and files
| Name | Name | Last commit message | Last commit date | |
|---|---|---|---|---|
Repository files navigation
About
An implementation of the Heston model, a stochastic volatility model for options pricing. We compute prices of European call and put options via Monte Carlo simulation, for a variety of strike prices and maturities. We also show that the Heston model captures volatility smiles/smirks/skews.
Topics
Resources
Stars
Watchers
Forks
Releases
No releases published
Packages 0
No packages published