Heston Model Calibration and Simulation 1.0

Date Added: March 26, 2013 | Visits: 368

Report Broken Link
Printer Friendly Version

Product Homepage
Download (44 downloads)

This code calibrates the heston model to any dataset of the formof the marketdata.txt file.Provides analytical heston and MCMC heston pricing of OptionTo see an example, run the hestoncalibrationexample.m code

Requirements: No special requirements

Platforms: Matlab

Keyword: Analytical, Dataset, Heston, Hestoncalibrationexamplem, Marketdatatxt, Model, Option, Pricing

Users rating: 0/10

License: Shareware

Size: 10 KB

USER REVIEWS

More Reviews or Write Review

HESTON MODEL CALIBRATION AND SIMULATION RELATED

Development Tools - American option pricing 1.0 American option pricing using CRR method with tree outputImprovement: Programme runs slow as time steps (not recommended for time step>50)	10 KB
Investor Tools - Chicago Option Pricing Model 1.0 A graphing calculator implementation of the Black-Scholes Option Pricing Model, with extensions for both American Style Options and Extreme Value Theory.	506.72 KB
Calculators - Option Pricing Calculator 1.0.0 This free option pricing calculator can be used to calculate: Call Price, Put Price, Gamma, Delta, Theta, Vega, Implied Volatility. Calculator can use three option pricing models to caculate prices: Black-Scholes Option price, Binomial American...	2.06 MB
Spreadsheets - Option Pricing Spreadsheet This free option pricing spreadsheet will calculate the theoretical price and all of the option greeks for European call and put options. Users can also enter up to 10 different stock/option combinations and view the combined payoff graph. The...	53 KB
Finance - Real & Strategic Option Valuation 1.0 The Real Option Valuation model encompasses a suite of option pricing tools to quantify the embedded strategic value for a range of investment scenarios. Traditional discounted cash flow investment analysis will only accept an investment if the...	143 KB
Development Tools - Heston Nandi Option price 1.0 this function calculates the price of Call option based on the GARCH option pricing formula of Heston and Nandi(2000). The input to the function are: current price of the underlying asset, strike price, unconditional variance of the underlying...	10 KB
Spreadsheets - Real Option Valuation 2.0 The Real Option Valuation model encompasses a suite of option pricing tools to quantify the embedded strategic value for a range of financial analysis and investment scenarios. Traditional discounted cash flow investment analysis will only accept...	151.37 KB
Development Tools - American Call option Pricing Approximation 1.0 Here is the code for the pricing of an american call option with one dividend. This is the Roll, Geske,Whaley approximation of an AMerican call with one dividend. This code makes use of Bivariate normal distribution and normal distribution. More...	10 KB
Development Tools - Simple option pricing GUI 1.0 This GUI accepts the various constants needed to run a Black-Scholes calculation for pricing several European options:Put, Call, Straddle, Strangle, Bull Spread, Bear Spread, ButterflyIt plots the pricing surface for the appropriate option and...	20.48 KB
Finance - Option Calculator 1.21 Option Calculator - calculates the value of put and call options (The Black-Scholes Option Pricing Model), calculates implied volatility and greeks (Delta, Vega, Gamma, Theta). You can see graph of option position (buy call or buy put).	500 KB

NEW DOWNLOADS IN SCRIPTS, DEVELOPMENT TOOLS

Scripts - Freelancer Script 5.05 Main Features: 100% Secured. Email Support (3 Years). FREE Updates (3 Years). Post projects. Featured projects. Private projects. Sealed projects. Edit/delete projects. Select freelancers....	5.49 MB
Scripts - B2B Script 4.20 Main Features: 100% Secured. Email Support (3 Years). FREE Updates (3 Years). Sign-up Account (Registration of account). Lead generation tools (for the sellers). Email verification to...	5.49 MB
Scripts - B2C Script 5.06 Main Features: 100% Secured. Email Support (3 Years). FREE Updates (3 Years). The script comes with totally editable site colors, icons and graphics Multilevel categories allows extensive browsing Admin can change Category ordering or...	5.49 MB
Scripts - Social Networking Script 2.86 Main Features: 100% Secured. Email Support (3 Years). FREE Updates (3 Years). Registration with name, email, password, date of birth etc. User can add multiple school, college, university with start...	5.49 MB
Scripts - Business Networking Script 8.04 Main Features: 100% Secured. Email Support (3 Years). FREE Updates (3 Years). Ajax based interface. Profile creation. Different types of profile. Profile for jobseekers, employers and employed...	5.49 MB
Development Tools - Aml2CHM 3.50 Those who use the popular Aml Pages text editor might be looking out for a way of generating help files from their text and notes. Aml2CHM is a plug-in that was developed to offer people a quick and efficient way of converting Aml Pages documents...	549.99 KB
Development Tools - VMP Viewer 1.0 This is a very rudimentary tool to visualize the VMP files generated by BrainVoyager. Useful to share files with people who do not have BV.	10 KB
Development Tools - Sending reports and timestamped file by emailing 1.0 main executing reference usage:[1] usage_send_mail.mIllustrates email sending with multiple separate files or single timestamped tar file. Attachment failure is properly handled, with continuation of report emailing without the attachment.[2]...	768 KB
Development Tools - IrisMVC 2.0 rc1 IrisMVC is an OOP PHP framework that developers can use as a strong and secure foundation to build on various web applications following the Model-View-Controller (MVC) pattern. It provides the basic functionality developers need, without...	51.2 KB
Development Tools - 7-Zip for Script 4.42 7-Zip is a file archiver with a high compression ratio.Features:- High compression ratio in new 7z format with LZMA compression- Supported formats:- Packing / unpacking: 7z, ZIP, GZIP, BZIP2 and TAR- Unpacking only: RAR, CAB, ISO, ARJ, LZH, CHM,...	624.64 KB

Windows Software	BeOS Software
Macintosh Software	Linux Software
PDA Software	OS/2 Software
Mobile Software	Scripts