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  1. heston-autocallable-vol-model heston-autocallable-vol-model Public

    Forked from Vijeet44/heston-autocallable-vol-model

    Heston model calibration and Monte-Carlo pricing of a BNP Paribas Athena Autocallable Note linked to the S&P 500. Includes vol-surface construction, calibration diagnostics, and payout simulation.

    Jupyter Notebook