Timeline for Heston Model Option Price Formula
Current License: CC BY-SA 3.0
11 events
| when toggle format | what | by | license | comment | |
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| Dec 20, 2019 at 13:45 | comment | added | EpicAdv | What is $x$ in these equations? | |
| S Jun 10, 2017 at 7:20 | history | suggested | msitt | CC BY-SA 3.0 |
Corrected formula for g_j.
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| Jun 9, 2017 at 20:32 | review | Suggested edits | |||
| S Jun 10, 2017 at 7:20 | |||||
| Aug 5, 2015 at 12:47 | comment | added | emcor | Thx I posted a follow-up question on the Bates SVJ model here. | |
| Jul 5, 2015 at 12:36 | comment | added | user16651 | @emcor Yes,the fast Fourier transform was applied by Carr and Madan (1999) to speed up the computation of option prices | |
| Jul 5, 2015 at 11:22 | comment | added | emcor | For numerical estimation, the "Re" part of the integral would by approximated by FFT? | |
| Jul 5, 2015 at 10:43 | vote | accept | emcor | ||
| Jul 5, 2015 at 9:05 | history | edited | user16651 | CC BY-SA 3.0 |
deleted 2 characters in body
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| Jul 5, 2015 at 8:49 | review | Suggested edits | |||
| Jul 5, 2015 at 9:03 | |||||
| Jul 5, 2015 at 8:40 | history | edited | user16651 | CC BY-SA 3.0 |
added 527 characters in body
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| Jul 5, 2015 at 8:08 | history | answered | user16651 | CC BY-SA 3.0 |