Library: | finance |
See also: | HestonCall BatesCall MertonCall BatesPut MertonPut BlackScholes |
Quantlet: | HestonPut | |
Description: | calculates European call option prices in Heston model using FFT |
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 |
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
[1,] 50 0.15212 [2,] 100 3.5421 [3,] 150 27.034