optByHestonFD
Option price by Heston model using finite differences
Syntax
Description
[
computes a vanilla European or American option price by the Heston model, using the
alternating direction implicit (ADI) method.Price
,PriceGrid
,AssetPrices
,Variances
,Times
] = optByHestonFD(Rate
,AssetPrice
,Settle
,ExerciseDates
,OptSpec
,Strike
,V0
,ThetaV
,Kappa
,SigmaV
,RhoSV
)
Note
Alternatively, you can use the Vanilla
object to price
vanilla options. For more information, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.
[
specifies options using one or more name-value pair arguments in addition to the input
arguments in the previous syntax.Price
,PriceGrid
,AssetPrices
,Variances
,Times
] = optByHestonFD(___,Name,Value
)
Examples
Input Arguments
Name-Value Arguments
Output Arguments
More About
References
[1] Heston, S. L. “A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options.” The Review of Financial Studies. Vol 6, Number 2, 1993.