The Heston model and its extensions in VBA /

• Main Author: Rouah, Fabrice, 1964-
• Format: eBook
• Language: English
• Published: Hoboken, New Jersey : Wiley, 2015.
• Series: Wiley finance series.
• Subjects: Visual Basic for Applications (Computer program language); Options (Finance) > Mathematical models.; Options (Finance) > Prices.; Finance > Mathematical models.; BUSINESS & ECONOMICS / Finance.; Electronic books.

"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...

Table of Contents:

• Front Matter
• The Heston Model for European Options
• Integration Issues, Parameter Effects, and Variance Modeling
• Derivations Using the Fourier Transform
• The Fundamental Transform for Pricing Options
• Numerical Integration Schemes
• Parameter Estimation
• Simulation in the Heston Model
• American Options
• Time-Dependent Heston Models
• Methods for Finite Differences
• The Heston Greeks
• The Double Heston Model.