Heston Model
Calculate vanilla European option prices and sensitivities
using Heston model
Functions
optByHestonFFT | Option price by Heston model using FFT and FRFT |
optSensByHestonFFT | Option price and sensitivities by Heston model using FFT and FRFT |
optByHestonNI | Option price by Heston model using numerical integration |
optSensByHestonNI | Option price and sensitivities by Heston model using numerical integration |
Topics
- Agency Option-Adjusted Spreads
Option-adjusted spread (OAS) is the standard measure for valuing bonds with embedded options.
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