GitHub - daleroberts/heston-qmc: Exact simulation and Quasi Monte Carlo for the Heston stochastic volatility model

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

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Name		Name	Last commit message	Last commit date
Latest commit History 4 Commits
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>