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

Abstract: 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.

Language: MATLAB
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)
Date: 2010-12-27
References: Add references at CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/hscode/STF2hes.zip Zipped file with Matlab functions (application/zip)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:wuu:hscode:zip10002

Access Statistics for this software item

More software in HSC Software from Hugo Steinhaus Center, Wroclaw University of Technology
Contact information at EDIRC.
Series data maintained by Rafal Weron ().