Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: finance
See also: HestonCall BatesCall MertonCall BatesPut MertonPut BlackScholes

Quantlet: HestonPut
Description: calculates European call option prices in Heston model using FFT

Reference(s):

Usage: y = HestonPut(S,K,T,r,kappa,theta,sigma,rho,v0)
Input:
S array: asset price
K array: exercise price
T array: time to maturity
r array: interest rate
kappa array: rate of mean-reversion
theta array: average level of volatility
sigma array: volatility of volatility
rho array: corelation between two Wiener processes
v0 array: initial volatility
Output:
y array: put option price

Note:

Example:
library("finance")
S=100
K=50|100|150
T=1
r= 0.2
mu = 0.01
kappa =0.1
rho = 0.0
theta = 0.9
sigma = 0.8
v0 = 0.05
y=HestonPut(S,K,T,r,kappa,theta,sigma,rho,v0)
K~y

Result:
[1,]       50  0.15212
[2,]      100   3.5421
[3,]      150   27.034



Author: S. Borak, K. Detlefsen, W.Haerdle 20040508 license MD*Tech
(C) MD*TECH Method and Data Technologies, 05.02.2006