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volmodels.xcodeproj
volmodels.xcodeproj
 
 
LICENSE
LICENSE
 
 
LowDiscrepancy.f
LowDiscrepancy.f
 
 
Makefile
Makefile
 
 
README
README
 
 
SVJtrajectory.cpp
SVJtrajectory.cpp
 
 
SVJtrajectory.h
SVJtrajectory.h
 
 
Scramblepoints.h
Scramblepoints.h
 
 
Sobolpoints.cpp
Sobolpoints.cpp
 
 
Sobolpoints.h
Sobolpoints.h
 
 
asian.h
asian.h
 
 
asianSVJ.h
asianSVJ.h
 
 
barrier.cpp
barrier.cpp
 
 
barrier.h
barrier.h
 
 
bessel.cpp
bessel.cpp
 
 
bessel.h
bessel.h
 
 
bridges.h
bridges.h
 
 
checkomp.cpp
checkomp.cpp
 
 
cores.hpp
cores.hpp
 
 
euro.cpp
euro.cpp
 
 
euro.h
euro.h
 
 
eurosbridge.cpp
eurosbridge.cpp
 
 
exact.cpp
exact.cpp
 
 
exact.h
exact.h
 
 
hestcall.cpp
hestcall.cpp
 
 
intbridge.cpp
intbridge.cpp
 
 
main.cpp
main.cpp
 
 
matlab.h
matlab.h
 
 
mccall.cpp
mccall.cpp
 
 
mctrials.cpp
mctrials.cpp
 
 
ql_imps.cpp
ql_imps.cpp
 
 
ql_imps.h
ql_imps.h
 
 
scramblepoints.cpp
scramblepoints.cpp
 
 
sobmatm16s1000vers1.dat
sobmatm16s1000vers1.dat
 
 
sobol.h
sobol.h
 
 
stats.h
stats.h
 
 
table1.cpp
table1.cpp
 
 
table2.cpp
table2.cpp
 
 
table3.cpp
table3.cpp
 
 
table4.cpp
table4.cpp
 
 
test.cpp
test.cpp
 
 
testread.cpp
testread.cpp
 
 
utils.cpp
utils.cpp
 
 
utils.h
utils.h
 
 

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Exact simulation and Quasi Monte Carlo methods for the
Heston stochastic volatility model.

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

Dale Roberts <dale.o.roberts@gmail.com>

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Exact simulation and Quasi Monte Carlo for the Heston stochastic volatility model

Topics

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

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BSD-3-Clause license
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