XploRe Help : HestonVanillaSSE

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:	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.

Reference(s):

[1] R. Weron, U. Wystup (2005) Heston's model and the smile, in "Statistical Tools for Finance and Insurance", eds. P. Cizek, W. Härdle, R. Weron, Springer.

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

Author: Rafal Weron, 20040730 license MD*Tech