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All Projects → daleroberts → heston

daleroberts / heston

Licence: BSD-3-Clause license
Implementations of the Heston stochastic volatility model

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financenumerical-codesoption-pricing

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Heston stochastic volatility model

This code includes:

  • Semi-closed form solution for a European call option
  • Monte Carlo solution (Absorbing at zero + Euler method)
  • Monte Carlo solution (Reflecting at zero + Euler method)
  • Monte Carlo solution (Reflecting at zero + Milstein method)
  • Monte Carlo solution (Alfonsi correction)
  • Plotting implied volality surface

impvol

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