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Yankun

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Comments and Ratings by Yankun View all
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12 Jul 2011 fminsearchbnd, fminsearchcon Bound constrained optimization using fminsearch Author: John D'Errico

Very useful.

23 Feb 2011 Heston Model Calibration and Simulation Calibrated the Heston Model to market Option prices Author: Moeti Ncube

Sorry, I made a mistake.
I mean your HestonCall.m doesn't work correctly when parameters such as St,K,r,T,vt,kap,th,sig,rho,lda are vectors instead of scalars.

23 Feb 2011 Heston Model Calibration and Simulation Calibrated the Heston Model to market Option prices Author: Moeti Ncube

Dear Moeti Ncube
Thanks for your code.
But I think your HestonCalibration.m doesn't work correctly when parameters such as St,K,r,T,vt,kap,th,sig,rho,lda are vectors instead of scalars.
I've mailed you my modification based on your code.
Thank you.

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