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The classical Heston with 5 parameters fails to match a market volatility surface, particularly in the short term (1-3m). It can be modified to use a time dependent Heston parameter instead, which can…
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Due to some unknown phenomenon while conducting simulation experiments, the previous implementations weren't working as required. Currently, the Julia functions `weighted_heston()` and `weighted_hesto…
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This is the roadmap for getting RustQuant to a solid `v1`.
High priority to-do list:
- [x] #188
- [ ] #141
- [ ] #88
- [ ] #5
- [ ] #245
- [x] #246
- [ ] #247
- [ ] #143
- [ ] #14
…
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Heston model has accurate density [approximations for European option prices](https://arxiv.org/pdf/1107.1834.pdf), which are of interest.
The module implementing this method should live under tf_q…
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Reported in #63
```
======================================================================
FAIL: test_smith (quantlib.test.test_heston_model.HestonModelTestCase)
------------------------------------…
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import numpy as np
from scipy.stats import norm
from scipy.optimize import least_squares
import pyswarms as ps
# Black-Scholes Model
def black_scholes(S, K, T, r, sigma):
d1 = (np.log(S / K) + (r…
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I've just built pyql with boost 1.61 and QL master on Win64 and am seeing the below errors:
```
======================================================================
FAIL: test_smith (quantlib.test.…
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I am really impressed by your code about the Heston pricing model. But when I am running the code, it says 'WebDriver' object has no attribute 'find_elements_by_xpath'. As a rookie to programming, cou…
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Are there any examples of computing the option price using the Heston model? I understand there are values to be plugged in but how are some of the values computed from the underlying's price?
For…