jcfrei/Heston

Option pricing function for the Heston model based on the implementation by Christian Kahl, Peter Jäckel and Roger Lord. Includes Black-Scholes-Merton option pricing and implied volatility estimation. No Financial Toolbox required.

语言：Matlab · GitHub 星标：43 · Fork：19

话题：calibration · heston · heston-model · optimi · option-pricing · stochastic-volatility-models

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