IDEAS home Printed from

HESTONVANILLAFITSMILE: MATLAB function to fit the Heston (1993) option pricing model to the FX market implied volatility smile


  • Agnieszka Janek

    (Wroclaw University of Technology)

  • Rafal Weron

    () (Wroclaw University of Technology)


HESTONVANILLAFITSMILE returns initial volatility V0, vol of vol VV, mean reversion KAPPA, long-run mean THETA, correlation RHO, vector of Garman-Kohlhagen implied volatilities IV and a sum of squared errors SSE given a vector of spot delta values DELTA, vector of the market implied volatilities MARKETVOLS, spot price SPOT, domestic and foreign interest rates RD and RF, time to maturity (in years) TAU and option type (Call/Put).

Suggested Citation

  • Agnieszka Janek & Rafal Weron, 2010. "HESTONVANILLAFITSMILE: MATLAB function to fit the Heston (1993) option pricing model to the FX market implied volatility smile," Statistical Software Components M430004, Boston College Department of Economics.
  • Handle: RePEc:boc:bocode:m430004

    Download full text from publisher

    File URL:
    File Function: program file
    Download Restriction: no


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:boc:bocode:m430004. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.