【分享】关于Heston模型的一些文献、论文、数值实现方法

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hongxx 发表于 2010-1-16 10:34:54 |AI写论文

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[The Review of Financial Studies, Heston] A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
A closed-form GARCH option valuation model
Pricing American-style Derivatives under the Heston Model
Convexity of option prices in the Heston model
Finite Difference Schemes for Heston model
Heston’s Stochastic Volatility
Not-so-complex logarithms in the Heston model
The Heston Model
The Heston Model A Practical Approach with matlab code

以上都gooogle来的。有兴趣的可以看看。

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关键词：Est sto Applications Application matlab code 文献模型论文数值 heston

heston.rar
下载链接: https://bbs.pinggu.org/a-524253.html

6.76 MB

本附件包括：

A closed-form GARCH option valuation model.pdf
Pricing American-style Derivatives under the Heston Model.pdf
Convexity of option prices in the Heston model.pdf
Finite Difference Schemes for Heston model.pdf
Heston’s Stochastic Volatility.pdf
Not-so-complex logarithms in the Heston model.pdf
The Heston Model.pdf
The Heston Model A Practical Approach with matlab code.pdf
[The Review of Financial Studies, Heston] A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options.pdf