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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.

Suggested Citation

  • Agnieszka Janek & Rafal Weron, 2010. "HESTONVANILLALIPTON: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the approach of Lipton (2002)," Statistical Software Components M430005, Boston College Department of Economics.
  • Handle: RePEc:boc:bocode:m430005

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