Screen LibraryThe Heston model and its extensions in VBA + website /
"Practical options pricing for better-informed investment decisions.The Heston Model and Its Extensions in VBA is the definitive guide to options pricing using two of the derivatives industry's most powerful modeling tools--the Heston model, and VBA. Light on theory, this extremely useful...
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| Main Authors: | |
|---|---|
| Published: |
Wiley,
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| Publisher Address: | Hoboken, New Jersey : |
| Publication Dates: | [2015] |
| Literature type: | Book |
| Language: | English |
| Series: |
Wiley finance
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| Subjects: | |
| Summary: |
"Practical options pricing for better-informed investment decisions.The Heston Model and Its Extensions in VBA is the definitive guide to options pricing using two of the derivatives industry's most powerful modeling tools--the Heston model, and VBA. Light on theory, this extremely useful reference focuses on implementation, and can help investors more efficiently--and accurately--exploit market information to better inform investment decisions. Coverage includes a description of the Heston model, with specific emphasis on equity options pricing and variance modeling, The book focuses not on |
| Item Description: | Machine generated contents note: Foreword Preface Acknowledgments About This Book VBA Library for Complex Numbers Chapter 1: The Heston Model for European Options Model Dynamics The Heston European Call Price Dividend Yield and the Put Price Consolidating the Integrals Black-Scholes as a Special Case Conclusion Chapter 2: Integration Issues, Parameter Effects, and Variance Modeling Remarks on the Characteristic Functions Problems With the Integrand The Little Heston Trap Effect of the Heston Parameters Variance Modeling in the Heston Model Moment Explosions Bounds on Implied Volatility Slope |
| Carrier Form: | 322 pages : illustrations ; 26 cm. |
| Bibliography: | Includes bibliographical references and index. |
| ISBN: |
9781119003304 (paperback) : 111900330X (paperback) |
| Index Number: | HG6024 |
| CLC: | F830.9 |
| Call Number: | F830.9/R852 |