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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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heston-modelquantitative-financestochastic-processespricingoptionscall-optionderivativesfinancemathematics

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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.

heston-modelquantitative-financestochastic-processespricingoptionscall-optionderivativesfinancemathematics

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