https://github.com/daleroberts/heston

Implementations of the Heston stochastic volatility model
https://github.com/daleroberts/heston

finance numerical-codes option-pricing r

Last synced: 24 days ago
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Implementations of the Heston stochastic volatility model

• Host: GitHub
• URL: https://github.com/daleroberts/heston
• Owner: daleroberts
• License: bsd-3-clause
• Created: 2013-05-22T23:10:25.000Z (over 11 years ago)
• Default Branch: master
• Last Pushed: 2015-04-15T07:09:33.000Z (over 9 years ago)
• Last Synced: 2023-07-15T03:34:11.257Z (over 1 year ago)
• Topics: finance, numerical-codes, option-pricing, r
• Language: R
• Size: 188 KB
• Stars: 22
• Watchers: 6
• Forks: 15
• Open Issues: 0
• Metadata Files:
  • Readme: README.md
  • License: LICENSE

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README

        
# Heston stochastic volatility model

This code includes:

 - Semi-closed form solution for a European call option

 - Monte Carlo solution (Absorbing at zero + Euler method)

 - Monte Carlo solution (Reflecting at zero + Euler method)

 - Monte Carlo solution (Reflecting at zero + Milstein method)

 - Monte Carlo solution (Alfonsi correction)

 - Plotting implied volality surface

![impvol](https://rawgithub.com/daleroberts/heston/master/images/impvol.png)