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Published 20 hours ago • verified publisher icon PyFE

Variance swap for Heston model

Open Loiser opened this issue 1 year ago • 0 comments

heston_mc.py change: Pctchange case for MC and Conditional MC heston.py: added Bernard and Cui, Zhu and Lian's formula for percentage return as functions

Loiser avatar Apr 19 '24 04:04 Loiser