Implementation for the Heston model

main_green.m - the main file for computing the Green function of the Heston model
main_calibrate_barrier_log.m - the main file for calibrating barriers with log asymptotics
main_calibrate_barrier_lin.m - the main file for calibrating barriers with lin asymptotics
main_put_saved_log.m - the main file for computing the perpetual American put using saved barriers with log asymptotics
main_put_saved_lin.m - the main file for computing the perpetual American put using saved barriers with lin asymptotics

saved_params_log.mat - file with the parameters of the saved barriers with log asymptotics
saved_params_lin.mat - file with the parameters of the saved barriers with lin asymptotics

hes_perpetual_put.m - computes the price of the perpetual American put in the Heston model
hes_perpetual_put_mm.m - computes the price of the perpetual American put in the Heston model as a mixture of exponentials
hes_perpetual_put_mm_fast.m - computes the price of the perpetual American put in the Heston model as a mixture of exponentials, faster version

hes_green.m - computes the Green function in the Heston model, G(x,u,v) 
hes_green_ft.m - computes the Fourier transform with respect to log returns of the Green function in the Heston model
hes_sp0_green.m - computes the Green function in the Heston model, special case with A=mu=0
hes_sp1_green.m - computes the Green function in the Heston model, special case with A=mu=0 and lambda=0  
hes_sp2_green.m - computes the Green function in the Heston model, special case with A=mu=0 and lambda=1  
hes_sp2_green_ft.m - computes the Fourier transform with respect to log returns of the Green function in the Heston model, special case with A=mu=0 and lambda=1 
hes_sp3_green.m - computes the Green function in the Heston model, special case with A=mu=0 and lambda=3  
hes_cgreen.m - computes the cumulated Green function in the Heston model, integral(-inf, x, G(y,u,v)dy)
hes_cgreentilda.m - computes the cumulated Green tilda function in the Heston model, integral(-inf, x, exp(y)*G(y,u,v)dy)

cir_green.m - computes the Green function of the CIR process 
hes_pdf1ds_ft.m - computes the Fourier transform in x of the 1d pdf p(t,x=y-s;v) of the Heston model
hes_pdf1dv.m - computes the 1d pdf of vt of Heston model, which is a CIR process 
hes_pdf2d_ft.m - computes the Fourier transform in x of the 2d pdf p(t,x=y-s,u;v) of the Heston model
hes_pdf2d_ft_lt.m - computes the Fourier transform in x and Laplace transform in u of the 2d pdf p(t,x=y-s,u;v) of the Heston model

hes_S.m - computes the regular Coulomb wave function customized for the specific structure of the parameters in our context
hes_S_zeros.m - computes the zeros of the regular Coulomb wave function
