Create Heston
model object for Vanilla
,
Asian
, Barrier
,
DoubleBarrier
, Lookback
,
VarianceSwap
, Touch
,
DoubleTouch
, or Binary
instrument
Create and price a Vanilla
, Asian
,
Barrier
, DoubleBarrier
,
Lookback
, VarianceSwap
,
Touch
, DoubleTouch
, or
Binary
instrument object with a Heston
model
using this workflow:
Use fininstrument
to create a Vanilla
,
Barrier
,
Lookback
,
Asian
, DoubleBarrier
, VarianceSwap
, Binary
,
Touch
, or
DoubleTouch
instrument object.
Use finmodel
to specify
a Heston
model object for the Vanilla
,
Asian
, Barrier
,
DoubleBarrier
, Lookback
,
VarianceSwap
, Touch
,
DoubleTouch
, or Binary
instrument.
Use finpricer
to
specify a FiniteDifference
, NumericalIntegration
, or FFT
pricing method
for the Vanilla
instrument.
Use finpricer
to
specify an AssetMonteCarlo
pricing method for the
Vanilla
, Asian
,
Barrier
DoubleBarrier
,
Lookback
, VarianceSwap
,
Touch
, DoubleTouch
, or
Binary
instrument.
For more information on this workflow, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.
For more information on the available pricing methods for a
Vanilla
, Asian
Barrier
,
DoubleBarrier
, Lookback
,
VarianceSwap
, Touch
,
DoubleTouch
, or Binary
instrument, see Choose Instruments, Models, and Pricers.
creates a HestonModelObj
= finmodel(ModelType
,'V0
'v0_value,'ThetaV
',thetav_value,'Kappa
',kappa_value,'SigmaV
',sigmav_value,'RhoSV
',rhosv_value)Black
model object by specifying
ModelType
and the required name-value pair
arguments V0
, ThetaV
,
Kappa
, SigmaV
, and
RhoSV
to set properties using required
name-value pair arguments. For example, HestonModelObj =
finmodel("Heston",'V0',0.032,'ThetaV',0.1,'Kappa',0.003,'SigmaV',0.2,'RhoSV',0.9)
creates a Heston
model object.