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...
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| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Hoboken, N.J. :
John Wiley & Sons, Inc
2013.
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| Edición: | 1st edition |
| Colección: | Wiley finance series
Wiley Finance |
| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009627892206719 |
| Sumario: | 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 |
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| Notas: | Description based upon print version of record. |
| Descripción Física: | 1 online resource (434 p.) |
| Bibliografía: | Includes bibliographical references and index. |
| ISBN: | 9781118695173 9781118656471 9781118695180 |
