PDFHESTON: MATLAB function to evaluate the probability density function in the Heston (1993) model

Agnieszka Janek and Rafał Weron

Statistical Software Components from Boston College Department of Economics

Abstract: PDFHESTON returns the Heston pdf values at points X given long-run variance THETA, level of mean reversion KAPPA, volatility of variance (vol of vol) SIGMA, correlation RHO and time lag T.

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
References: Add references at CitEc
Citations:

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/p/pdHeston.m program file (text/plain)
Our link check indicates that this URL is bad, the error code is: 404 Not Found

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:m430007

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 ().