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CharFuncPricing.jl
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by jherekhealy
Tags
characteristic functionsheston modeljuliaoptions pricingstochastic volatility
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Build the foundations
Suggested foundations for volatility models and surfaces. Specialist prerequisites vary by resource.
Before you read
- Stochastic Processes, Brownian Motion and Itô's Lemma
Follow diffusion-based models and their assumptions.
- ARCH and GARCH
Separate conditional volatility from observed returns.
Go further
- Stochastic Volatility and the Heston Model
Study a correlated stochastic-variance model.
- Reading the Implied Vol Surface — Moneyness, Term Structure, and Quoting Conventions
Interpret prices across strikes and expiries.
Explore a related reading path
- From martingales to option pricing
Start in discrete time, move to Brownian motion, then read the original pricing argument and simulate it.