Log-Normal Stochastic Volatility Model: Pricing of Vanilla Options and Econometric Estimation

Implementation of the econometric estimation of the log-normal stochastic volatility model

% Implementation of the econometric estimation of the log-normal stochastic volatility model
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% Based on the paper:
% Sepp, A. (2015), Log-Normal Stochastic Volatility Model: Pricing of Vanilla Options and Econometric Estimation, Working paper
% available at SSRN: http://ssrn.com/abstract=2522425
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% by Artur Sepp
% [e-mail]
% http://math.ut.ee/~spartak/
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% Last Update: October 3, 2015
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% Implemented functionality in this file:
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% [1] Simulate realizations of the stochastic volatility and returns with given model parameters
% and apply the estimation using maximum likelohood to this time series(see the paper for analytical details)
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% This code is distributed via the mathworks file-exchange and it is covered by the BSD license
% This code is being provided solely for information and general illustrative purposes.
% The author will not be responsible for numbers produced from using the code.