GitHub - malikfahad/Monte-Carlo-Simulation-Heston-Model: In finance, the Heston model, is a mathematical model describing the evolution of the volatility of an underlying asset. It is a stochastic volatility model: such a model assumes that the volatility of the asset is not constant, nor even deterministic, but follows a random process. The calibration of the Heston model is often formulated as a least squares problem, with the objective function minimizing the difference between the price observed in the market and that calculated from the Heston model. The price refers to that of vanilla options. Under the Heston model, this price is given analytically but the expression is overly complicated. This inhibits the derivation of the gradient of the objective function with respect to the Heston parameters.

malikfahad / Monte-Carlo-Simulation-Heston-Model Public

Notifications You must be signed in to change notification settings
Fork 2
Star 2

In finance, the Heston model, is a mathematical model describing the evolution of the volatility of an underlying asset. It is a stochastic volatility model: such a model assumes that the volatility of the asset is not constant, nor even deterministic, but follows a random process. The calibration of the Heston model is often formulated as a lea…

2 stars 2 forks Branches Tags Activity

Star

Notifications

Branches Tags

Name		Name	Last commit message	Last commit date
Latest commit History 1 Commit
Heston Model Report.pdf		Heston Model Report.pdf
Heston_MonteCarlo_Smulation.m		Heston_MonteCarlo_Smulation.m
Model Summary.png		Model Summary.png
Question.png		Question.png
Thumbs.db		Thumbs.db