PDFHESTON: MATLAB function to evaluate the probability density function in the Heston (1993) model

Agnieszka Janek and Rafał Weron ()

Statistical Software Components from Boston College Department of Economics

Abstract: PDFHESTON returns the Heston pdf values at points X given long-run variance THETA, level of mean reversion KAPPA, volatility of variance (vol of vol) SIGMA, correlation RHO and time lag T.

Language: MATLAB
Requires: MATLAB (tested on MATLAB ver. 7.9; in earlier versions of MATLAB instead of quadgk.m use quadva.m by L.F.Shampine, J. Computational and Applied Mathematics 211, 2008, 131-140).
Keywords: Option premium; FX option; Stochastic volatility; Heston (1993) model. (search for similar items in EconPapers)
Date: 2010-12-27
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