Heston Model Calibration and Simulation

Version 1.1.0.0 (6,79 KB) von Moeti Ncube
Calibrated the Heston Model to market Option prices
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6,5K Downloads
Aktualisiert 15. Jun 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

Zitieren als

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

Kompatibilität der MATLAB-Version
Erstellt mit R2009a
Kompatibel mit allen Versionen
Plattform-Kompatibilität
Windows macOS Linux
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HestonCalibration/

Version Veröffentlicht Versionshinweise
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