| Library: | finance |
| See also: | HestonCall HestonPut MertonCallMC |
| Quantlet: | HestonCallMC | |
| Description: | calculates European call option prices in Heston model using Monte Carlo method. |
| Usage: | y = HestonCall(S,K,T,r,kappa,theta,sigma,rho,v0,I,M) | |
| Input: | ||
| S | scalar, asset price | |
| K | scalar, exercise price | |
| T | scalar, time to maturity | |
| r | scalar, interest rate | |
| kappa | scalar, rate of mean-reversion | |
| theta | scalar, average level of volatility | |
| sigma | scalar, volatility of volatility | |
| rho | scalar, corelation between two Wiener processes | |
| v0 | scalar, initial volatility | |
| I | scalar, number of grid points | |
| M | scalar, number of trajectories | |
| Output: | ||
| y | scalar, call option price | |
library("finance")
randomize2(100)
S=100
K=100
T=1
r= 0.2
mu = 0.01
kappa =0.1
rho = 0.0
theta = 0.9
sigma = 0.8
v0 = 0.05
I = 200
M = 1000
y=HestonCallMC(S,K,T,r,kappa,theta,sigma,rho,v0,I,M)
y
Contents of y [1,] 22.757