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Heston

于 2013-08-18 发布文件大小:8KB

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Heston Model option pricings and comparison(Compares the option prices obtained using the analytical Heston formula (1993) and the FFT method (Carr-Madan formula via FFT+ Simpson s, Carr-Madan using adaptive Gauss-Kronrod quadrature, and Lipton s formula using adaptive Gauss-Kronrod quadrature).)

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