Stochastic Volatility Option Pricing

Versione 1.4.4.0 (213 KB) da Justus Stoermer
Calculates option prices for the Heston stoch. vol. model and illustrates the parameter sensitivity.
5.0
(3)
1,2K download
Aggiornato 10 nov 2015

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The app calculates option prices for the Heston stochastic volatility model using the COS closed form solution. Furthermore, it graphically illustrates the sensitivity of the Black Scholes implied volatilities with respect to the Heston parameters.
Disclaimer: This application is only for illustrative/scientific purposes and must not be utilised commercially.

Cita come

Justus Stoermer (2025). Stochastic Volatility Option Pricing (https://it.mathworks.com/matlabcentral/fileexchange/53841-stochastic-volatility-option-pricing), MATLAB Central File Exchange. Recuperato .

Compatibilità della release di MATLAB
Creato con R2015a
Compatibile con qualsiasi release
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Versione Pubblicato Note della release
1.4.4.0

Adjustment for older MATLAB versions
1.4.3.0

New Picture
1.4.2.0

New Picture
1.4.1.0

Bug Fixes
1.4.0.0

Bug Fixes
1.3.1.0

New Picture
1.3.0.0

Plots now call and put prices.
1.2.0.0

Implied volatility surface can be plotted; more elegant design; bug fixes.
1.1.0.0

-Minor bug fixes
1.0.0.0

..