STF2HES: MATLAB functions for "FX smile in the Heston model"
Agnieszka Janek and
Rafał Weron ()
HSC Software from Hugo Steinhaus Center, Wroclaw University of Technology
These functions are Matlab implementations of the concepts brought forward in Chapter 4 "FX smile in the Heston model" of "Statistical Tools for Finance and Insurance (2nd ed.)" edited by P.Cizek, W.Haerdle and R.Weron, published by Springer, 2011. The zip file includes 9 functions: GarmanKohlhagen.m, HestonFFTVanilla.m, HestonVanilla.m, HestonVanillaFitSmile.m, HestonVanillaLipton.m, HestonVanillaSmile.m, pdfHeston.m, simGBM.m, simHeston.m. For sample applications see the STF2HES_EX.zip example scripts at http://ideas.repec.org/c/wuu/hscode/zip10001.html.
Requires: MATLAB (tested on MATLAB ver. 7.9).
Keywords: Option premium; FX option; Volatility smile; Stochastic volatility; Heston (1993) model; Carr and Madan (1999) FFT approach; Lipton (2002) approach; Garman and Kohlhagen (1983) model; Calibration (search for similar items in EconPapers)
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Downloads: (external link)
http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/hscode/STF2hes.zip Zipped file with Matlab functions (application/zip)
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Persistent link: http://EconPapers.repec.org/RePEc:wuu:hscode:zip10002
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