FX smile in the Heston model
The MATLAB support for Janek, Agnieszka & Kluge, Tino & Weron, Rafał & Wystup, Uwe. (2010). FX Smile in the Heston Model. Statistical Tools
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The MATLAB support for Janek, Agnieszka & Kluge, Tino & Weron, Rafał & Wystup, Uwe. (2010). FX Smile in the Heston Model. Statistical Tools for Finance and Insurance. 10.48550/arXiv.1010.1617.
MATALB files were retreived from https://ideas.repec.org/p/pra/mprapa/25491.html
A python implementation is available at https://github.com/shasafoster/frm
Cite As
Janek, Agnieszka & Kluge, Tino & Weron, Rafał & Wystup, Uwe. (2010). FX Smile in the Heston Model. Statistical Tools for Finance and Insurance. 10.48550/arXiv.1010.1617.
General Information
- Version 1.0.1 (259 KB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
