The goal of this project is to present a simple approach to modeling the volatility smile using the Heston model, which incorporates stochastic volatility. We investigate the impact of different model parameters on the shape of the volatility smile and the resulting probability density function of log stock prices.
active 2024-10-08 → 2024-12-21 (UTC)
Activity over time
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Line chart, 75 days from 2024-10-08 to 2024-12-21. Pushes: 2 total, peak 2 in a day. Pull requests: 0 total, peak 0 in a day. Issues: 0 total, peak 0 in a day. Comments: 0 total, peak 0 in a day. Stars: 1 total, peak 1 in a day.
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Top contributors
Pushes, PRs, issues, reviews and comments — stars and forks excluded, so this is contribution rather than popularity
| Contributor | Contributions | Pushes | PRs | Comments |
|---|---|---|---|---|
| MarchesiQuant | 2 | 2 | 0 | 0 |
Recent activity
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Totals cover only the window loaded into ClickHouse and count events, not GitHub's lifetime totals — 1 stars here means stars gained during the window, not the repo's star count.