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Heston Model

Calculate vanilla European option prices and sensitivities using Heston model

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

Agency Option-Adjusted Spreads

Option-adjusted spread (OAS) is the standard measure for valuing bonds with embedded options.