Name		Name	Last commit message	Last commit date
Correlated BM.png		Correlated BM.png
Heston Options Pricer.py		Heston Options Pricer.py
Heston_Model.pdf		Heston_Model.pdf
README.md		README.md
Smiles.png		Smiles.png
Underlying Paths.png		Underlying Paths.png
Vol surface calls.png		Vol surface calls.png
Vol surface puts.png		Vol surface puts.png
Volatility Paths.png		Volatility Paths.png

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Heston-Model

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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.

derivative-pricing heston-model stochastic-processes stochastic-volatility stochastic-volatility-models

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