heston
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Implementations of the Heston stochastic volatility model
Heston stochastic volatility model
This code includes:
- Semi-closed form solution for a European call option
- Monte Carlo solution (Absorbing at zero + Euler method)
- Monte Carlo solution (Reflecting at zero + Euler method)
- Monte Carlo solution (Reflecting at zero + Milstein method)
- Monte Carlo solution (Alfonsi correction)
- Plotting implied volality surface