The Heston model and its extensions in Matlab and C#
By: Fabrice Douglas Rouah
Series: Wiley finance series
Publisher: John Wiley & Sons, Inc.
Published: 2013
Place of publication: Hoboken, New Jersey
Language: eng
Number of pages: 411
ISBN-13: 9781118548257
Subjects: Options (Finance); Mathematical models; Prices; Finance; C# (Computer program language); MATLAB
Notes: Includes bibliographical references (pages 383-389) and index.
Table of contents: title: The Heston model for European options; title: Integration issues, parameter effects, and variance modeling; title: Derivations using the Fourier transform; title: The fundamental approach to pricing options.