HESTONVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model

Agnieszka Janek and Rafał Weron

Statistical Software Components from Boston College Department of Economics

Abstract: HESTONVANILLA returns the price of a European Call or Put option given spot price S, strike K, initial volatility V0, vol of vol VV, domestic interest rate RD, foreign interest rate RF, time to maturity (in years) TAU, level of mean reversion KAPPA, long-run variance THETA, market price of volatility risk LAMBDA and correlation RHO.

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

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