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STF2HES_EX: MATLAB example scripts for "FX smile in the Heston model"

By Agnieszka Janek and Rafal Weron

Abstract

These example scripts illustrate the concepts brought forward in Chapter 4 "FX smile in the Heston model" of "Statistical Tools for Finance and Insurance (2nd ed.)" edited by P.Cizek, W.Haerdle and R.Weron, published by Springer, 2011. The zip file includes 7 scripts allowing to reproduce the chapter's figures in Matlab. The scripts require 9 Matlab functions for proper operation: GarmanKohlhagen.m, HestonFFTVanilla.m, HestonVanilla.m, HestonVanillaFitSmile.m, HestonVanillaLipton.m, HestonVanillaSmile.m, pdfHeston.m, simGBM.m, simHeston.m; see STF2HES.zip at http://ideas.repec.org/c/wuu/hscode/zip10002.html.Option premium, FX option, Volatility smile, Stochastic volatility, Heston (1993) model, Carr and Madan (1999) FFT approach, Lipton (2002) approach, Garman and Kohlhagen (1983) model, Calibration

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