optSensByHestonFD
Option price and sensitivities by Heston model using finite differences
Syntax
Description
[
computes a vanilla European or American option price and sensitivities by the Heston model,
using the alternating direction implicit (ADI) method.PriceSens
,PriceGrid
,AssetPrices
,Variances
,Times
] = optByHestonFD(Rate
,AssetPrice
,Settle
,ExerciseDates
,OptSpec
,Strike
,V0
,ThetaV
,Kappa
,SigmaV
,RhoSV
)
Note
Alternatively, you can use the Vanilla
object to calculate
price or sensitivities for vanilla options. For more information, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.
[
specifies options using one or more name-value pair arguments in addition to the input
arguments in the previous syntax.PriceSens
,PriceGrid
,AssetPrices
,Variances
,Times
] = optByHestonFD(___,Name,Value
)
Examples
Input Arguments
Name-Value Arguments
Output Arguments
More About
References
[1] Heston, S. L. “A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options.” The Review of Financial Studies. Vol 6, Number 2, 1993.
Version History
Introduced in R2018bSee Also
optstockbyfd
| optstocksensbyfd
| optByHestonFD
| optByLocalVolFD
| optSensByLocalVolFD
| optByBatesFD
| optSensByBatesFD
| optByMertonFD
| optSensByMertonFD
| Vanilla