https://github.com/daleroberts/heston-qmc

Exact simulation and Quasi Monte Carlo for the Heston stochastic volatility model
https://github.com/daleroberts/heston-qmc

c-plus-plus finance mathematics monte-carlo-simulation numerical-codes

Last synced: 11 months ago
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Exact simulation and Quasi Monte Carlo for the Heston stochastic volatility model

• Host: GitHub
• URL: https://github.com/daleroberts/heston-qmc
• Owner: daleroberts
• License: bsd-3-clause
• Created: 2013-05-23T01:57:37.000Z (about 13 years ago)
• Default Branch: master
• Last Pushed: 2013-05-23T02:02:26.000Z (about 13 years ago)
• Last Synced: 2025-03-24T03:43:50.508Z (about 1 year ago)
• Topics: c-plus-plus, finance, mathematics, monte-carlo-simulation, numerical-codes
• Language: C++
• Size: 340 KB
• Stars: 1
• Watchers: 1
• Forks: 1
• Open Issues: 0
• Metadata Files:
  • Readme: README
  • License: LICENSE

Awesome Lists containing this project

README

          
Exact simulation and Quasi Monte Carlo methods for the

Heston stochastic volatility model.

See http://arxiv.org/abs/1202.3217

Dale Roberts