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jugnoo
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Posts: 2
Joined: May 3rd, 2012, 11:53 am

code for heston calibration

October 4th, 2012, 5:52 pm

hey does any body has experiance with heston model calibration? could you suggest any matlab or vba code?thanks
 
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alpher

code for heston calibration

October 4th, 2012, 8:59 pm

QuoteOriginally posted by: jugnoohey does any body has experiance with heston model calibration? could you suggest any matlab or vba code?thankscan't remember 100% correct - but quantlib HAD c# and c++ heston calibration included? no? no idea about matlab or (mathematica) or vba - but - google it? also: likely there's no such thing in excell...i am betting 5$ on it without any googling...
 
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Lapsilago
Posts: 5
Joined: October 15th, 2004, 7:36 am
Location: Germany

code for heston calibration

October 5th, 2012, 9:39 am

Seehttp://www.mathworks.de/matlabcentral/fileexch ... :246981you will find different calibration methods and many, many models (including Heston).Would be nice buying the book also ;-)Ciao Lapsilago