Fairmat repository1.9
Version date30.01.2015
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Heston model

License: Free
Author: Fairmat srl

The Heston model simulates equity or index prices taking into account stochastic volatility effects. The main feature of the model is that the price process follows a geometric brownian motion with a stochasticvolatility while the volatility follows a square root mean reverting process. Usually the correlation is negative, so that a lowering in the stock price is correlated with an increasing in the volatility.Once installed the plug-in offers the possibility of using two new processes, the Heston process and the Heston time dependent drift process and to calibrate them to a series of call prices.

Tags: stochastic process, calibration, equity, stochastic volatility
Downloads: 1158