Heston Model Calibration and Simulation

버전 1.1.0.0 (6.79 KB) 작성자: Moeti Ncube

Calibrated the Heston Model to market Option prices

팔로우

4.5

(6)

다운로드 수: 6.5K

업데이트 날짜: 2011/6/15

라이선스 보기

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

인용 양식

Moeti Ncube (2024). Heston Model Calibration and Simulation (https://www.mathworks.com/matlabcentral/fileexchange/29446-heston-model-calibration-and-simulation), MATLAB Central File Exchange. 검색됨 2024/7/26.

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HestonCalibration/

버전	게시됨	릴리스 정보
1.1.0.0	2011/6/15	Corrected volatility simulation to following: vhes(j+1)=vhes(j)exp(((kappa(theta - vhes(j))-0.5vsigma^2)dt)/vhes(j) + vsigma(1/sqrt(vhes(j)))sqrt(dt)*r2);	다운로드
1.0.0.0	2010/11/18		다운로드

버전

게시됨

릴리스 정보

1.1.0.0

2011/6/15

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);

다운로드

1.0.0.0

2010/11/18