Denly/heston_model

Heston model calibration

Click "launch binder" to run the interactive jupyter

Ref

https://quant.stackexchange.com/questions/51749/heston-volatility-surface-in-python-quantlib

https://colab.research.google.com/drive/1oG7T9LPKGL5imVeFVAZHP9whJ-jZF8ah#scrollTo=Af_MzqnGJ0BW

http://gouthamanbalaraman.com/blog/volatility-smile-heston-model-calibration-quantlib-python.html

https://www.quantconnect.com/tutorials/introduction-to-options/historical-volatility-and-implied-volatility

https://www.quantconnect.com/tutorials/introduction-to-options/local-volatility-and-stochastic-volatility