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HESTONFFTVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the FFT approach of Carr and Madan (1999)

Author

Listed:
  • Agnieszka Janek

    (Wroclaw University of Technology)

  • Rafal Weron

    (Wroclaw University of Technology)

Programming Language

MATLAB

Abstract

HESTONFFTVANILLA returns the price of a European Call or Put option given spot price S, strike K, time to maturity (in years) T, domestic R and foreign RF interest rates, rate of mean reversion KAPPA, average level of volatility THETA, volatility of volatility SIGMA, correlation between the Wiener increments driving the spot and vol processes RHO and initial volatility VO.

Suggested Citation

  • Agnieszka Janek & Rafal Weron, 2010. "HESTONFFTVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the FFT approach of Carr and Madan (1999)," Statistical Software Components M430002, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:m430002
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/h/hestonfftvanilla.m
    File Function: program file
    Download Restriction: no
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    Citations

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    Cited by:

    1. Sai Hung Marten Ting & Christian-Oliver Ewald, 2013. "On the performance of asymptotic locally risk minimising hedges in the Heston stochastic volatility model," Quantitative Finance, Taylor & Francis Journals, vol. 13(6), pages 939-954, May.

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