Heston Model Simulation in Python
The Heston model is a mathematical framework used to describe the dynamics of financial derivatives, particularly options, in the context of stochastic volatility.
The model aims to address some of the limitations of the Black-Scholes model, which assumes that volatility is constant over time.
In the Heston model, volatility is not constant but follows a stochastic process, which means it can change over time due to market conditions.
This makes the model more flexible and realistic, as it can capture the observed volatility clustering phenomenon seen in financial markets.
I compared Heston model and Black Scholes model.
Then I demonstrated how to run simulation for Heston model in Python.
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The Python code is uploaded into https://github.com/AIMLModeling/Hesto...