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JuliaQuant / FinancialDerivatives.jl

Financial derivatives modeling and pricing in Julia.
https://juliaquant.github.io/FinancialDerivatives.jl/dev/
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Implement Heston model #21

Closed mvanzulli closed 1 month ago

mvanzulli commented 4 months ago

Implement Heston model via FFT according to this ref

iblislin commented 3 months ago

well, seems the ref is gone? I got 502 from that link

mvanzulli commented 3 months ago

well, seems the ref is gone? I got 502 from that link

Yep you are right, I've updated the link 🛠️

iblislin commented 3 months ago

ah thanks! let me study it first.

mvanzulli commented 3 months ago

ah thanks! let me study it first.

Sure, no rush. Thanks for your attention to this matter 🤙🏼