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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.

Publisher: Moeti Ncube | License: Shareware
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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