GitHub - SK8gh/HestonPricer: Pricing in a Heston model context, using the QE scheme, the Andersen scheme and Monte-Carlo methods to price vanilla options.

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Pricing in a Heston model context, using the QE scheme, the Andersen scheme and Monte-Carlo methods to price vanilla options.

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Name		Name	Last commit message	Last commit date
Latest commit History 1 Commit
Heston.cpp		Heston.cpp
Heston.h		Heston.h
mainHeston.cpp		mainHeston.cpp
random_numbers.cpp		random_numbers.cpp
random_numbers.h		random_numbers.h

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Pricing in a Heston model context, using the QE scheme, the Andersen scheme and Monte-Carlo methods to price vanilla options.

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