Re: Heston test suite
Posted: June 5th, 2020, 12:46 pm
Thanks for the clarifications Alan.
I have created a small Julia package if anyone needs reference numbers of option prices under Heston with a high accuracy.
https://github.com/jherekhealy/CharFuncPricing.jl
I have created a small Julia package if anyone needs reference numbers of option prices under Heston with a high accuracy.
https://github.com/jherekhealy/CharFuncPricing.jl