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Nov 24

Simulation of Heston model

Posted by abiao at 20:39 | Code » Matlab | Comments(0) | Reads(10627)
Generates Heston stochastic volatility process at various frequencies,
% ds  = mu dt + Vt^1/2 dW_1t
% dVt = b(a-Vt) dt + sig Vt^1/2 dW_2t
% Corr( dW_1t, dW_2t )=rho
% S0 is starting value of price proces
% NbD corresponds to numbers of days

http://www.hec.unil.ch/matlabcodes/option_pricing.html


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