SIMHESTON: MATLAB function to simulate trajectories of the spot price and volatility processes in the Heston (1993) model
SIMHESTON returns a 2-column array, containing the simulated trajectories of the spot price S(t) and volatility v(t) for t=0:DELTA:N, in the model: dS(t) = mu*S(t)*dt + v^0.5*S(t)*dW1(t), dv(t) = kappa*(theta - v(t))*dt + sigma*(v(t)^0.5)*dW2(t), Cov[dW1(t),dW2(t)] = rho*dt, given starting value of the spot price process S0, starting value of the volatility process V0, drift MU, speed of mean reversion of the volatility process KAPPA,long-term mean of the volatility process THETA, volatility SIGMA, correlation between the spot price and volatility processes RHO, time endpoint N, a 2-column vector of normally distributed pseudorandom numbers NO and a flag denoting used simulation scheme (Quadratic-Exponential scheme, Euler scheme with absorption or reflection for the volatility process).
|Requires:||MATLAB (tested on MATLAB ver. 7.9).|
|Date of creation:||27 Dec 2010|
|Date of revision:|
|Contact details of provider:|| Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA|
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