Heston Model & Calibration

Version 1.2.0.0 (45.5 KB) by Jonathan
Heston model based on the implementation by Christian Kahl, Peter Jäckel and Roger Lord
4.5
(2)
691 Downloads
Updated 30 Aug 2017
View License on GitHub

Option pricing function for the Heston model based on the implementation by Christian Kahl, Peter Jäckel and Roger Lord

Cite As

Jonathan (2026). Heston Model & Calibration (https://github.com/jcfrei/Heston), GitHub. Retrieved .

MATLAB Release Compatibility
Created with R2007a
Compatible with any release
Platform Compatibility
Windows macOS Linux
Categories
Find more on Model-Based Calibration Toolbox in Help Center and MATLAB Answers
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Version Published Release Notes
1.2.0.0

naming
1.1.0.0

added alphas as return values
1.0.0.0

To view or report issues in this GitHub add-on, visit the GitHub Repository.
To view or report issues in this GitHub add-on, visit the GitHub Repository.