Heston Model Calibration and Simulation

Version 1.1.0.0 (6.79 KB) by Moeti Ncube

Calibrated the Heston Model to market Option prices

4.5

(6)

6.5K Downloads

Updated 15 Jun 2011

View License

This code calibrates the heston model to any dataset of the form
of the marketdata.txt file.

Provides analytical heston and MCMC heston pricing of Option

To see an example, run the hestoncalibrationexample.m code

Cite As

Moeti Ncube (2026). Heston Model Calibration and Simulation (https://nl.mathworks.com/matlabcentral/fileexchange/29446-heston-model-calibration-and-simulation), MATLAB Central File Exchange. Retrieved January 17, 2026.

MATLAB Release Compatibility

Created with R2009a

Compatible with any release

Platform Compatibility

Windows macOS Linux

Tags Add Tags

HestonCalibration/

Version	Published	Release Notes
1.1.0.0	15 Jun 2011	Corrected volatility simulation to following: vhes(j+1)=vhes(j)exp(((kappa(theta - vhes(j))-0.5vsigma^2)dt)/vhes(j) + vsigma(1/sqrt(vhes(j)))sqrt(dt)*r2);	Download
1.0.0.0	18 Nov 2010		Download

Version

Published

Release Notes

1.1.0.0

15 Jun 2011

Corrected volatility simulation to following:

vhes(j+1)=vhes(j)*exp(((kappa*(theta - vhes(j))-0.5*vsigma^2)*dt)/vhes(j) + vsigma*(1/sqrt(vhes(j)))*sqrt(dt)*r2);

Download

1.0.0.0

18 Nov 2010