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HESTONVANILLALIPTON: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the approach of Lipton (2002)

  • Agnieszka Janek

    (Wroclaw University of Technology)

  • Rafal Weron

    ()

    (Wroclaw University of Technology)

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

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File URL: http://fmwww.bc.edu/repec/bocode/h/hestonvanillalipton.m
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Software component provided by Boston College Department of Economics in its series Statistical Software Components with number M430005.

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Programming language: MATLAB
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).
Date of creation: 27 Dec 2010
Date of revision:
Handle: RePEc:boc:bocode:m430005
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