HESTONVANILLALIPTON: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the approach of Lipton (2002)

Agnieszka Janek and Rafał Weron

Statistical Software Components from Boston College Department of Economics

Abstract: HESTONVANILLALIPTON returns the price of a European Call or Put option given spot price S, exercise price K, initial volatility VO, volatility of volatility SIGMA, domestic interest rate R, foreign interest rate RF, time to maturity (in years) T, rate of mean reversion KAPPA, average level of volatility THETA and the correlation between two Wiener processes 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; Lipton (2002) approach. (search for similar items in EconPapers)
Date: 2010-12-27
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http://fmwww.bc.edu/repec/bocode/h/hestonvanillalipton.m program file (text/plain)

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