HESTONFFTVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the FFT approach of Carr and Madan (1999)

Agnieszka Janek and Rafał Weron

Statistical Software Components from Boston College Department of Economics

Abstract: HESTONFFTVANILLA returns the price of a European Call or Put option given spot price S, strike K, time to maturity (in years) T, domestic R and foreign RF interest rates, rate of mean reversion KAPPA, average level of volatility THETA, volatility of volatility SIGMA, correlation between the Wiener increments driving the spot and vol processes RHO and initial volatility VO.

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; Carr and Madan (1999) FFT approach. (search for similar items in EconPapers)
Date: 2010-12-27
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Citations: View citations in EconPapers (1)

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http://fmwww.bc.edu/repec/bocode/h/hestonfftvanilla.m program file (text/plain)

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