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by rongnai
March 22nd, 2016, 5:42 pm
Forum: Student Forum
Topic: Analytical solution for Heston Model
Replies: 2
Views: 2145

Analytical solution for Heston Model

<t>I am a beginner studying Heston Model. I notice that people are almost all talking about the closed form solution for options of the Heston Model. However, I am only interested in the closed form solution (or the density) of the basic two stochastic equations as shown below.dS(t) = mu*S(t)*dt + s...