Option price and sensitivities by Heston model using finite differences
[
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
)
[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.
optByBatesFD
| optByHestonFD
| optByLocalVolFD
| optByMertonFD
| optSensByBatesFD
| optSensByLocalVolFD
| optSensByMertonFD
| optstockbyfd
| optstocksensbyfd