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Implement Heston model #28

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Closes #21

The implemenation has been validated against QuantLib:

>>> option_price_ql = option.NPV()
>>> print(f"Option Price using QuantLib: {option_price_ql:.16f}")
>>> on Price using QuantLib: 8982.8708666875791096

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codecov bot commented Jun 9, 2024

Codecov Report

Attention: Patch coverage is 96.77419% with 1 line in your changes missing coverage. Please review.

Project coverage is 86.55%. Comparing base (844ec7d) to head (aa10b08).
Report is 11 commits behind head on master.

Files Patch % Lines
src/models/heston.jl 96.77% 1 Missing ⚠️
Additional details and impacted files
@@            Coverage Diff             @@
##           master      #28      +/-   ##
==========================================
+ Coverage   83.64%   86.55%   +2.90%     
==========================================
  Files          13       15       +2     
  Lines         159      238      +79     
==========================================
+ Hits          133      206      +73     
- Misses         26       32       +6     

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src/models/heston.jl Outdated Show resolved Hide resolved
@mvanzulli mvanzulli deployed to github-pages June 9, 2024 23:01 — with GitHub Actions Active
@mvanzulli
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@iblislin this is ready for review 👼🏼

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Implement Heston model
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