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Heston model calibration
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This spreadsheet can be used to implement Heston option pricing model on real market data. After entering the input parameters - spot price, strike price, domestic and foreign interest rate the spreadsheet use Excel solver to calibrate the output parameters - the reversion rate, long term variance, initial variance, volatility of underlying asset volatility and correlation between the volatility and asset price. The estimated parameters can be used afterward into Monte Carlo simulation to derive option price as an average of extensive number of simulated spot rate development paths and discounted back to the actual time.The spreadsheet also plots the graph of simulated spot price and variance development up to the maturity date.
coufek
2016-08-23
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