Heston Model Calibration and Simulation
version 1.1.0.0 (6.79 KB) by
Moeti Ncube
Calibrated the Heston Model to market Option prices
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 (2022). 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 LinuxCategories
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