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
optByHestonFFT | Option price by Heston model using FFT and FRFT |
optSensByHestonFFT | Option price and sensitivities by Heston model using FFT and FRFT |
optByHestonNI | Option price by Heston model using numerical integration |
optSensByHestonNI | Option price and sensitivities by Heston model using numerical integration |
Topics
- Agency Option-Adjusted Spreads
Option-adjusted spread (OAS) is the standard measure for valuing bonds with embedded options.
