Heston Model Calibration and Simulation
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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
Free download from Shareware Connection - 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.
Version: 1.0 | Size: 10 KB | Platform: Matlab, Scripts
Released Date: 20-04-2013 | Rating: 0 | Title: Heston Model Calibration and Simulation
Author Url: http://www.mathworks.com
Program Info Url: http://www.mathworks.com
Download Url: http://www.mathworks.com/matlabcentral/fx_files/29446/2/HestonCalibration.zip
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