Function Reference: heston

Function File: heston = heston (Return, Speed, Level, Volatility)

Function File: heston = heston (Return, Speed, Level, Volatility, OptionName, OptionValue, …)

Creates an object to represent a Heston stochastic volatility model.

dX_1 = (Return(t) * X_1)dt + (sqrt (X_2) * X_1)dW_1;

dX_2 = (Speed(t) * (Level(t) - X_2))dt + (sqrt (X_2) * Volatility(t))dW_2.

See the @sde documentation for a list of optional arguments.

See also: sde.