HESTONVANILLAFITSMILE: MATLAB function to fit the Heston (1993) option pricing model to the FX market implied volatility smile
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).
|Requires:||MATLAB (tested on MATLAB ver. 7.9; in earlier versions of MATLAB instead of quadgk.m use quadva.m by L.F.Shampine, J. Computational and Applied Mathematics 211, 2008, 131-140), GARMANKOHLHAGEN, HESTONVANILLA (both available from SSC).|
|Date of creation:||27 Dec 2010|
|Contact details of provider:|| Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA|
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC
|Order Information:||Web: http://repec.org/docs/ssc.php|
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