Overview - 2024.2 English - XD160

Vitis Libraries

Document ID
XD160
Release Date
2024-11-29
Version
2024.2 English

Heston model is a mathematical model that describing dynamics of underlying asset price. It is a stochastic volatility model which assumes the volatility of the asset price is not constant but follows a random process. In this case, volatility follows square root process which means volatility is always non-negative.