/heston

Implementations of the Heston stochastic volatility model

Primary LanguageRBSD 3-Clause "New" or "Revised" LicenseBSD-3-Clause

Heston stochastic volatility model

This code includes:

  • Semi-closed form solution for a European call option
  • Monte Carlo solution (Absorbing at zero + Euler method)
  • Monte Carlo solution (Reflecting at zero + Euler method)
  • Monte Carlo solution (Reflecting at zero + Milstein method)
  • Monte Carlo solution (Alfonsi correction)
  • Plotting implied volality surface

impvol