The Heston Model and its Extensions in Matlab and C#, + Website

Abscissas, 107, 115–127, 130, 132,134–136, 145, 159, 171

Afshani S., 278

Äit-Sahalia, Y., 156, 160, 175–176

Albrecher, H., 14, 25, 29, 31–32, 47, 61,67, 69, 269, 357, 361, 368

Alfonsi, A., 177, 198, 201, 374

Algorithms

alternate, 33

bisection, 40, 55, 128, 149, 238, 249, 252

Differential Evolution (DE), 147,162–164, 166, 175

Longstaff and Schwartz, 176, 205, 346,348, 381–382

minimization, 147

Nelder-Mead, 81, 151–154

non-centrality parameter, 193

non-linear search, 76

replication, 44–45

root-finding, 149

rotation, 33

Simpson's rule, 133

Alternating Direction Implicit (ADI) method, 301, 321

American options, 203–261

abstract, 205

Beliaeva-Nawalkha bivariate tree,217–228

call options, 118, 237, 253–254

call pricing, 214, 237, 253–254, 258, 261

calls, 118, 205, 214, 253–261

Chiarella and Ziogas American call,253–261

and European puts, 222, 381

explicit method, 213–216

Greeks, 327, 348, 350–354

Least-Squares Monte Carlo (LSM),205–213

Medvedev-Scaillet expansion, 228–253

option prices, 176, 205, 315–316, 325,348, 361

option pricing, 203, 205–206, 228, 382

option valuation of, 203, 346

put options, 229

put prices, 212, 214, 221–222, 228, 230,239–240, 244–245, 248–252, 348,350, 352, 381

put valuation, 207, 212

puts, 261

conclusion, 261

Andersen, L., 25, 56, 58, 61, 177, 194–195,201, 378–379

Array indexing, 116, 121

Atiya, A. F., 147, 166–169, 175

Attari, M., 61, 66, 69–71, 73, 89, 115 ...