Package org.drip.sample.stochasticvolatility

Heston AMST Stochastic Volatility Pricing

Author:

Lakshmi Krishnamurthy

Class Summary

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.