Heston Model Calibration and Simulation

Version 1.1.0.0 (6.79 KB) by Moeti Ncube
Calibrated the Heston Model to market Option prices
4.5
(6)
6.5K Downloads
Updated 15 Jun 2011

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This code calibrates the heston model to any dataset of the form
of the marketdata.txt file.

Provides analytical heston and MCMC heston pricing of Option

To see an example, run the hestoncalibrationexample.m code

Cite As

Moeti Ncube (2024). Heston Model Calibration and Simulation (https://www.mathworks.com/matlabcentral/fileexchange/29446-heston-model-calibration-and-simulation), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2009a
Compatible with any release
Platform Compatibility
Windows macOS Linux
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HestonCalibration/

Version Published Release Notes
1.1.0.0

Corrected volatility simulation to following:

vhes(j+1)=vhes(j)*exp(((kappa*(theta - vhes(j))-0.5*vsigma^2)*dt)/vhes(j) + vsigma*(1/sqrt(vhes(j)))*sqrt(dt)*r2);
1.0.0.0