heston-pricing. Demonstrates how to price derivatives in a Heston framework, using successive approximations of the invariant distribution of a Markov ergodic diffusion with decreasing time discretization steps. The framework is that of G. Pagès & F. Panloup.

Problem

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Audience

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Market

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Pricing

The full read on this project is a sign-in away — what it solves, who it serves, and where it sits in the market.