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The Heston model and its extensions in Matlab and C#

by Rouah, Fabrice,
Additional authors: ebrary, Inc.
Series: Wiley finance series Published by : John Wiley & Sons, Inc., (Hoboken, N.J. :) Physical details: xiii, 411 p. : col. ill.
Subject(s): MATLAB. | Options (Finance) -- Mathematical models. | Options (Finance) -- Prices. | Finance -- Mathematical models. | C# (Computer program language) | Electronic books.
Year: 2013
Online resources:
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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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