Stochastic Volatility Option Pricing
Calculates option prices for the Heston stoch. vol. model and illustrates the parameter sensitivity.
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The app calculates option prices for the Heston stochastic volatility model using the COS closed form solution. Furthermore, it graphically illustrates the sensitivity of the Black Scholes implied volatilities with respect to the Heston parameters.
Disclaimer: This application is only for illustrative/scientific purposes and must not be utilised commercially.
Cite As
Justus Stoermer (2026). Stochastic Volatility Option Pricing (https://www.mathworks.com/matlabcentral/fileexchange/53841-stochastic-volatility-option-pricing), MATLAB Central File Exchange. Retrieved .
General Information
- Version 1.4.4.0 (213 KB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
| Version | Published | Release Notes | Action |
|---|---|---|---|
| 1.4.4.0 | Adjustment for older MATLAB versions |
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| 1.4.3.0 | New Picture |
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| 1.4.2.0 | New Picture |
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| 1.4.1.0 | Bug Fixes |
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| 1.4.0.0 | Bug Fixes |
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| 1.3.1.0 | New Picture |
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| 1.3.0.0 | Plots now call and put prices. |
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| 1.2.0.0 | Implied volatility surface can be plotted; more elegant design; bug fixes. |
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| 1.1.0.0 | -Minor bug fixes |
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| 1.0.0.0 | .. |
