Heston Model Calibration and Simulation

Versione 1.1.0.0 (6,79 KB) da Moeti Ncube
Calibrated the Heston Model to market Option prices
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Aggiornato 15 giu 2011

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This code calibrates the heston model to any dataset of the form
of the marketdata.txt file.

Provides analytical heston and MCMC heston pricing of Option

To see an example, run the hestoncalibrationexample.m code

Cita come

Moeti Ncube (2024). Heston Model Calibration and Simulation (https://www.mathworks.com/matlabcentral/fileexchange/29446-heston-model-calibration-and-simulation), MATLAB Central File Exchange. Recuperato .

Compatibilità della release di MATLAB
Creato con R2009a
Compatibile con qualsiasi release
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HestonCalibration/

Versione Pubblicato Note della release
1.1.0.0

Corrected volatility simulation to following:

vhes(j+1)=vhes(j)*exp(((kappa*(theta - vhes(j))-0.5*vsigma^2)*dt)/vhes(j) + vsigma*(1/sqrt(vhes(j)))*sqrt(dt)*r2);
1.0.0.0