Simulate from and fit a discrete-time autoregressive log stochastic volatility model
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Updated
Sep 30, 2024 - Python
Simulate from and fit a discrete-time autoregressive log stochastic volatility model
implement Heston model, which describe stochastic volatility.
Config files for my GitHub profile.
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Discretize VAR(1) of arbitrary size, with arbitrary covariance matrix for innovations, and optional stochastic volatility.
An implementation of the Heston model, a stochastic volatility model for options pricing. We compute prices of European call and put options via Monte Carlo simulation, for a variety of strike prices and maturities. We also show that the Heston model captures volatility smiles/smirks/skews.
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Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, Heston
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