| Class | Description |
|---|---|
| AlbrecherMayerSchoutensTistaert |
AlbrecherMayerSchoutensTistaert displays the Heston (1993) Price/Vol Surface across the Range of Strikes
and Maturities, demonstrating the smiles and the skews.
|
| CallPriceSplineSurface |
CallPriceSplineSurface demonstrates the spline volatility surface generated by a stochastic volatility
algorithm, i.e., in this case the Heston 1993 algorithm.
|
| CallVolSplineSurface |
CallVolSplineSurface demonstrates the spline volatility surface generator by a stochastic volatility
algorithm, i.e., in this case the Heston 1993 algorithm.
|
| HestonAMSTPayoffTransform |
HestonAMSTPayoffTransform contains an Comparison of the two ways of computing the Fourier convolution of
the terminal payoff - the original Heston (1993) method, and the Albrecher, Mayer, Schoutens, and
Tistaert tweak (2007).
|
| StandardHestonPricingMeasures |
StandardHestonPricingMeasures contains an illustration of the Stochastic Volatility based Pricing
Algorithm of an European Call Using the Heston Algorithm.
|