The Heston model and its extensions in Matlab and C#
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Hoboken, New Jersey
Wiley
2013
|
| Schriftenreihe: | Wiley finance series
|
| Schlagworte: | |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| Beschreibung: | Includes bibliographical references and index The Heston model for European options -- Integration issues, parameter effects, and variance modeling -- Derivations using the Fourier transform -- The fundamental approach to pricing options -- Numerical Integration Schemes -- Parameter Estimation -- Simulation in the Heston Model -- American Options -- Time-Dependent Heston Models -- Methods for Finit Differences -- The Heston Greeks -- The Double Heston Model 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 research papers and many of the models covered and the computer codes are unavailable from other sources. |
|---|---|
| Beschreibung: | XIII, 411 S. graph. Darst. |
| ISBN: | 1118656474 1118695135 1118695178 9781118548257 9781118695135 9781118695173 |