HESTONVANILLASMILE: MATLAB function to compute the volatility smile implied by the Heston (1993) option pricing model.

Abstract

HESTONVANILLASMILE returns a vector of volatilities given a vector of strikes STRIKES, spot price SPOT, initial volatility V0, vol of vol VV, domestic and foreign interest rates RD and RF, time to maturity (in years) TAU, mean reversion KAPPA, long-run mean THETA, market price of risk LAMBDA, correlation RHO and option type (Call/Put).Option premium, FX option, Volatility smile, Stochastic volatility, Heston (1993) model, Garman and Kohlhagen (1983) model.