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The Heston model and its extensions in Matlab and C# [electronic resource] / Fabrice Douglas Rouah ; [foreword by Steven L. Heston].

By: Contributor(s): Material type: TextSeries: Wiley finance seriesPublication details: Hoboken, N.J. : John Wiley & Sons, Inc., 2013.Description: xiii, 411 p. : col. illSubject(s): Genre/Form: DDC classification:
  • 332.64/53028553 23
LOC classification:
  • HG6024.A3 R6777 2013eb
Online resources:
Contents:
The Heston model for European options -- Integration issues, parameter effects, and variance modeling -- Derivations using the Fourier transform -- The fundamental approach to pricing options.
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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.

Electronic reproduction. Palo Alto, Calif. : ebrary, 2013. Available via World Wide Web. Access may be limited to ebrary affiliated libraries.

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