The Heston Model for European Options
Obtaining the Heston Characteristic Functions
Solving the Heston Riccati Equation
Dividend Yield and the Put Price
Black–Scholes as a Special Case
Integration Issues, Parameter Effects, and Variance Modeling
Remarks on the Characteristic Functions
Effect of the Heston Parameters
Variance Modeling in the Heston Model
Bounds on Implied Volatility Slope
Derivations Using the Fourier Transform
Recovery of Probabilities With Gil–Pelaez Fourier Inversion
Carr and Madan (1999) Representation
Bounds on the Carr–Madan Damping Factor and Optimal Value
The Carr–Madan Representation for Puts
The Representation for OTM Options
The Fundamental Transform for Pricing Options
The Fundamental Transform and the Option Price
The Fundamental Transform for the Heston Model
Option Prices Using Parseval’s Identity
Volatility of Volatility Series Expansion
Get The Heston Model and its Extensions in Matlab and C#, + Website now with the O’Reilly learning platform.
O’Reilly members experience books, live events, courses curated by job role, and more from O’Reilly and nearly 200 top publishers.