Heston Model Calibration in the "Real" World with Python - S&P500 Index Options
27:18
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Heston Model Calibration in the "Real" World with Python - S&P500 Index Options
The Heston model is a useful model for simulating stochastic volatility and its effect on the potential paths an asset can take over the life of an option. It's popular because of: - easy closed-form solution for European option pricing - no risk of negative variances - incorporation of leverage effect This allows for more effective modeling ...
35K viewsMar 25, 2022
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