Local Stochastic Volatility calibration
Posted: September 30th, 2015, 10:18 am
Hello everybody,Is anybody aware of a piece of code available out there for calibrating local stochastic volatility models. Preferably with heston as stochastic part, other also appreciated. Preferably for Matlab, VBA, R, others also appreciated. I am mainly interested in the part of the code that calibrates the leverage function (local volatility correction) using Fokker-Planck PDE.I would appreciate any help.Thank you very much.