Library: | finance |
See also: | HestonVanillaFitSmile HestonVanilla ImplVolaFX |
Quantlet: | HestonVanillaSSE | |
Description: | auxiliary function used by HestonVanillaFitSmile, computes the sum of squared errors (SSE) between the market and model implied volatilities. |
Usage: | E = HestonVanillaSSE(param) | |
Input: | ||
param | 3 element vector, param[1] = vol of vol, param[2] = long-run variance, param[3] = correlation | |
Output: | ||
E | sum of squared errors |