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Implement Heston model #21

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mvanzulli opened this issue May 12, 2024 · 4 comments · Fixed by #28
Closed

Implement Heston model #21

mvanzulli opened this issue May 12, 2024 · 4 comments · Fixed by #28

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@mvanzulli
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mvanzulli commented May 12, 2024 •
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Implement Heston model via FFT according to this ref
mvanzulli added a commit to mvanzulli/FinancialDerivatives.jl that referenced this issue Jun 9, 2024
@mvanzulli
Implement Heston model (JuliaQuant#21)
c9fe970
@mvanzulli mvanzulli mentioned this issue Jun 9, 2024
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mvanzulli added a commit to mvanzulli/FinancialDerivatives.jl that referenced this issue Jun 9, 2024
@mvanzulli
Update src/models/heston.jl
0cac3f7 
Add Heston reference (JuliaQuant#21)
@iblislin
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well, seems the ref is gone? I got 502 from that link

@mvanzulli
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well, seems the ref is gone? I got 502 from that link

Yep you are right, I've updated the link 🛠️

@iblislin
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ah thanks! let me study it first.

@mvanzulli
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mvanzulli commented Jun 21, 2024 •
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ah thanks! let me study it first.

Sure, no rush. Thanks for your attention to this matter 🤙🏼

iblislin pushed a commit that referenced this issue Aug 7, 2024
@mvanzulli
Implement Heston model (#28)
d96aeeb 
* Implement Heston model (#21)

* Update src/models/heston.jl

Add Heston reference (#21)

* Update runtests.jl
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Implement Heston model mvanzulli/FinancialDerivatives.jl
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@iblislin @mvanzulli