Method | Description | |
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HestonCall ( ) : System |
Initializes a new instance of the HestonEstimator.HestonCall class.
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HestonCallPrice ( Vector x, double s0, double T, double K, double r, double q ) : double |
Calculates the Heston model call price. Note that this function is a wrapper for the other one which sets all the variables locally before calling it. |
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IntegrandFunc ( double u ) : double |
Calculates value of the integrand function that appears in the Heston model call price formula.
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IntegrandFunc ( double u, double kappa, double theta, double sigma, double rho, double s0, double v0, double rate, double dividend, double T, double K ) : double |
Calculates value of the integrand function that appears in the Heston model call price formula.
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Phi ( System.Complex u, double kappa, double theta, double sigma, double rho, double s0, double v0, double r, double T ) : System.Complex |
Calculates the Heston characteristic function. The calculation does not follow the original paper by Heston but uses the form found in the paper |
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PutIntegrandFunc ( double u ) : double |
Method | Description | |
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HestonCall ( |
Initializes a new instance of the HestonEstimator.HestonCall class.
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HestonCall ( |
Initializes a new instance of the HestonEstimator.HestonCall class.
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HestonCallPrice ( ) : double |
Calculates the Heston model call price by using local variables. The indefinite integral present in the formula is performed with extremes [1E-8, 1000]. This choice seems to be sufficient to correctly estimate the indefinite integral. |
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HestonCallPutPrice ( ) : Vector |
Jointly calculate a call and a put price.
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HestonPutPrice ( ) : double |
Calculates a put price using the Heston model
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PerformIntegral ( double a, double b, TAEDelegateFunction1D f ) : double |
Numerical integral in R+ assuming the integrand is exponential decaying.
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Phi ( double u, double kappa, double theta, double sigma, double rho, double v0, double s0, double r, double T ) : System.Complex |
Calculates Heston characteristic function with input u real.
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public HestonCallPrice ( Vector x, double s0, double T, double K, double r, double q ) : double | ||
x | Vector | Vector of Heston model parameters. |
s0 | double | Starting value for the stock process. |
T | double | Maturity of the call option which price is to be calculated. |
K | double | Strike of the call option which price is to be calculated. |
r | double | Risk free rate. |
q | double | Dividend yield. |
return | double |
public IntegrandFunc ( double u ) : double | ||
u | double | Value at which the integrand function is to be calculated. |
return | double |
public IntegrandFunc ( double u, double kappa, double theta, double sigma, double rho, double s0, double v0, double rate, double dividend, double T, double K ) : double | ||
u | double | Value at which the integrand function is to be calculated. |
kappa | double | Heston volatility mean reversion speed parameter. |
theta | double | Heston volatility mean reversion level parameter. |
sigma | double | Heston volatility of volatility parameter. |
rho | double | /// Correlation between the two Wiener processes in the Heston dynamics. /// |
s0 | double | Starting value for the stock process. |
v0 | double | Starting value for the volatility process. |
rate | double | Risk free rate. |
dividend | double | Dividend yield. |
T | double | Maturity of the call option which price is to be calculated. |
K | double | Strike of the call option which price is to be calculated. |
return | double |
public Phi ( System.Complex u, double kappa, double theta, double sigma, double rho, double s0, double v0, double r, double T ) : System.Complex | ||
u | System.Complex | /// Complex value at which the characteristic function is to be calculated. /// |
kappa | double | Heston volatility mean reversion speed parameter. |
theta | double | Heston volatility mean reversion level parameter. |
sigma | double | Heston volatility of volatility parameter. |
rho | double | /// Correlation between the two Wiener processes in the Heston dynamics. /// |
s0 | double | Starting value for the stock process. |
v0 | double | Starting value for the volatility process. |
r | double | Risk free rate. |
T | double | Time at which the characteristic function is to be calculated. |
return | System.Complex |
public PutIntegrandFunc ( double u ) : double | ||
u | double | |
return | double |