Timeline for Calculating vega in Heston?
Current License: CC BY-SA 4.0
6 events
| when toggle format | what | by | license | comment | |
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| Jan 12, 2021 at 10:17 | vote | accept | Modvinden | ||
| Jan 12, 2021 at 9:28 | history | edited | Kevin | CC BY-SA 4.0 |
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| Jan 12, 2021 at 8:18 | comment | added | Kevin | @Kermittfrog Fair point. I added the point in case it caused any confusion for anyone. Thanks! | |
| Jan 12, 2021 at 8:15 | history | edited | Kevin | CC BY-SA 4.0 |
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| Jan 12, 2021 at 8:02 | comment | added | Kermittfrog | Nice and clean. Just to make sure: The Heston Vega is computed using the Heston call price function $C(S_0,v_0,\ldots)$ (obviously). | |
| Jan 12, 2021 at 7:47 | history | answered | Kevin | CC BY-SA 4.0 |