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STF2HES_EX: MATLAB example scripts for "FX smile in the Heston model"

Contents:

Author Info

  • Agnieszka Janek
  • Rafal Weron

Abstract

These example scripts illustrate the concepts brought forward in Chapter 4 "FX smile in the Heston model" of "Statistical Tools for Finance and Insurance (2nd ed.)" edited by P.Cizek, W.Haerdle and R.Weron, published by Springer, 2011. The zip file includes 7 scripts allowing to reproduce the chapter's figures in Matlab. The scripts require 9 Matlab functions for proper operation: GarmanKohlhagen.m, HestonFFTVanilla.m, HestonVanilla.m, HestonVanillaFitSmile.m, HestonVanillaLipton.m, HestonVanillaSmile.m, pdfHeston.m, simGBM.m, simHeston.m; see STF2HES.zip at http://ideas.repec.org/c/wuu/hscode/zip10002.html.

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File URL: http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/hscode/STF2hes_ex.zip
File Function: Zipped file with Matlab example scripts
Download Restriction: no

Bibliographic Info

Software component provided by Hugo Steinhaus Center, Wroclaw University of Technology in its series HSC Software with number ZIP10001.

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Size:
Programming language: MATLAB
Requires: MATLAB (tested on MATLAB ver. 7.9).
Date of creation: 27 Dec 2010
Date of revision:
Handle: RePEc:wuu:hscode:zip10001

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Related research

Keywords: Option premium; FX option; Volatility smile; Stochastic volatility; Heston (1993) model; Carr and Madan (1999) FFT approach; Lipton (2002) approach; Garman and Kohlhagen (1983) model; Calibration;

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