STF2HES_EX: MATLAB example scripts for "FX smile in the Heston model"

Agnieszka Janek and Rafał Weron

HSC Software from Hugo Steinhaus Center, Wroclaw University of Science and Technology

Abstract: These example scripts illustrate the concepts brought forward in Chapter 4 "FX smile in the Heston model" of "Statistical Tools for Finance and Insurance (2nd ed.)" edited by P.Cizek, W.Haerdle and R.Weron, published by Springer, 2011. The zip file includes 7 scripts allowing to reproduce the chapter's figures in Matlab. The scripts require 9 Matlab functions for proper operation: GarmanKohlhagen.m, HestonFFTVanilla.m, HestonVanilla.m, HestonVanillaFitSmile.m, HestonVanillaLipton.m, HestonVanillaSmile.m, pdfHeston.m, simGBM.m, simHeston.m; see STF2HES.zip at http://ideas.repec.org/c/wuu/hscode/zip10002.html.

Language: MATLAB
Requires: MATLAB (tested on MATLAB ver. 7.9).
Keywords: Option premium; FX option; Volatility smile; Stochastic volatility; Heston (1993) model; Carr and Madan (1999) FFT approach; Lipton (2002) approach; Garman and Kohlhagen (1983) model; Calibration (search for similar items in EconPapers)
Date: 2010-12-27
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/hscode/STF2hes_ex.zip Zipped file with Matlab example scripts (application/zip)

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:wuu:hscode:zip10001

Access Statistics for this software item

More software in HSC Software from Hugo Steinhaus Center, Wroclaw University of Science and Technology Contact information at EDIRC.
Bibliographic data for series maintained by Rafal Weron ().