HESTONFFTVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the FFT approach of Carr and Madan (1999).

Abstract

HESTONFFTVANILLA returns the price of a European Call or Put option given spot price S, strike K, time to maturity (in years) T, domestic R and foreign RF interest rates, rate of mean reversion KAPPA, average level of volatility THETA, volatility of volatility SIGMA, correlation between the Wiener increments driving the spot and vol processes RHO and initial volatility VO.Option premium, FX option, Stochastic volatility, Heston (1993) model, Carr and Madan (1999) FFT approach.