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HESTONVANILLASMILE: MATLAB function to compute the volatility smile implied by the Heston (1993) option pricing model

Agnieszka Janek and Rafał Weron ()

Statistical Software Components from Boston College Department of Economics

Abstract: HESTONVANILLASMILE returns a vector of volatilities given a vector of strikes STRIKES, spot price SPOT, initial volatility V0, vol of vol VV, domestic and foreign interest rates RD and RF, time to maturity (in years) TAU, mean reversion KAPPA, long-run mean THETA, market price of risk LAMBDA, correlation RHO and option type (Call/Put).

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), GARMANKOHLHAGEN, HESTONVANILLA (both available from SSC).
Keywords: Option premium; FX option; Volatility smile; Stochastic volatility; Heston (1993) model; Garman and Kohlhagen (1983) model. (search for similar items in EconPapers)
Date: 2010-12-27
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