feat(quantlib): add Heston (1993) stochastic volatility option pricing - #1195
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Implement semi-analytical European option pricing under the Heston stochastic volatility model via numerical quadrature of the continuous characteristic function (Lewis 2001 / Albrecher et al. 2007 formulation). Signed-off-by: santhreal <64453045+santhreal@users.noreply.github.com>
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Summary
Implements semi-analytical European option pricing under the Heston (1993) stochastic volatility model via numerical quadrature of the continuous characteristic function (Lewis 2001 / Albrecher et al. 2007 formulation).
Changes
agent/src/quantlib/volatility.pyimplementingheston_price,heston_characteristic_function, andheston_feller_condition.QuantlibCallToolinagent/src/tools/quantlib_tool.py.agent/tests/quantlib/test_volatility.pytesting against published literature benchmarks (Moodley 2005), put-call parity, and convergence to Black-Scholes.Signed-off-by: santhreal 64453045+santhreal@users.noreply.github.com