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
References: Add references at CitEc
Citations:

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/h/hestonvanillasmile.m program file (text/plain)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:m430006

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().