Main Content

Heston Model

Calculate vanilla European option prices and sensitivities using Heston model

The Heston model assumes that the volatility of the underlying asset follows its own stochastic process, which allows it to capture the volatility smile or skew observed in market data. Compute option prices and sensitivities using Carr-Madan FFT, Chourdakis FRFT, or numerical integration methods with the following functions:

Functions

optByHestonFFTOption price by Heston model using FFT and FRFT
optSensByHestonFFTOption price and sensitivities by Heston model using FFT and FRFT
optByHestonNIOption price by Heston model using numerical integration
optSensByHestonNIOption price and sensitivities by Heston model using numerical integration

Topics