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Heston Option Pricer 1.0

  Date Added: April 23, 2013  |  Visits: 232

Heston Option Pricer

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Compute European call option price using the Heston model and a conditional Monte-Carlo method [call_prices, std_errs] = Heston(S0, r, V0, eta, theta, kappa, strike, T, M, N)*******************************************************************************INPUTS: S0 - Current price of the underlying asset. r - Annualized continuously compounded risk-free rate of return over the life of the option, expressed as a positive decimal number. Heston Parameters: V0 - Current variance of the underlying asset eta - volatility of volatility theta - long-term mean kappa - rate of mean-reversion strike - Vector of strike prices of the option T - Time to expiration of the option, expressed in years. N - Number of time steps per path M - Number of paths (Monte-Carlo simulations)******************************************************************************* OUTPUTS: call_prices - Prices (i.e., value) of a vector of European call options. std_err - Standard deviation of the error due to the Monte-Carlo simulation: (std_err = std(sample)/sqrt(length(sample))) ******************************************************************************* Example: S0 = 100; r = 0.02; V0 = 0.04; eta = 0.7; theta = 0.06; kappa = 1.5; strike = 85:5:115; T = 0.25 M = 2000; % Number of paths. N = 250; % Number of time steps per path [call_prices, std_errs] = Heston(S0, r, V0, eta, theta, kappa, strike, T, M, N)call_prices =15.9804 11.4069 7.2125 3.9295 2.1213 1.2922 0.8625 std_errs = 0.0198 0.0263 0.0329 0.0367 0.0357 0.0315 0.0268*******************************************************************************I thank Roger Lee for his MSFM course at the University of Chicago

Requirements: No special requirements
Platforms: Matlab
Keyword: 00268i 3d159804 Deviation Error Ncall Prices Options Outputs Paths Prices Simulation Simulations Standard Std Err Stdsamplesqrtlengthsample Steps Vector
Users rating: 0/10

License: Freeware Size: 92.16 KB
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