Directory of Open Source for Quantitative Finance and Trading
Username: Password: Not registered?
Job Seekers
    View Jobs    
 My Resumes 
Jobs By Location
New York
Chicago
London
Tokyo
Singapore
Canada
Australia
India
Jobs by Programming
Java
C# .NET
Matlab
C++
Database
Excel
Jobs by Role
Analyst
Developer
Structurer
Junior Quant
Senior Quant
Strategist
Rich Quant
Jobs by Sector
Hedge Fund
Credit Derivatives
Mortgage
Trading
Equity Derivates
Front Office
Fixed Income
Subscribe to RSS Feeds
Latest Jobs
Latest Code
Latest Papers
 
Quick Search:    (AJAX based: No need to press button)
   Post Job   

Main : Quantlib : 


Category: Quantlib View Full Details
Download Now!Call price in Heston model with MC
Submitter: vanna Date: 2007/7/9
Description:
The attached code snippet is an example of calculating call price in Heston model using monte carlo simulation..

Got a question or problem with this link? Just enter your message and click on submit. No registration is required.

Note: A copy of this message will also be emailed to the submitter of this link
Downloaded 1335 times  1335  File Size 0 bytes  Supported Platforms Quantlib  Home Page http://www.quantcode.com
Rating: 0.00 (0 votes)
Rate this File | Modify | Delete | Report Broken File | Tell a Friend | Comments (6)

Discuss this file. Just enter your message and click on submit. No registration is required.
Similar Links:
Option Pricer for Heston Model (Link)
Convexity of option prices in the Heston model (Paper)
Heston Model (Software)
The Heston Model:A Practical Approach (Paper)
Heston pricing (Forum)
Subscribe to RSS or daily email updates of latest quantitative finance code listings
Email address :
Copyright © 2011 QuantCode Inc. All rights reserved.