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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 example scripts at

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
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Downloads: (external link) Zipped file with Matlab functions (application/zip)

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Handle: RePEc:wuu:hscode:zip10002