Heston Stochastic Volatility Calibrator
Heston Stochastic Volatility Calibrator is a least-squares calibration of a Heston model via Levenberg-Marquardt.
The Heston model assumes that the underlying asset follows a Black-Scholes process with a stochastic volatility. The Heston model may include asset jumps and be piece-wise constant.
The Heston Stochastic Volatility Calibrator is applicable to any suite of simple European options written on a single asset. This includes equity and FX options and commodity options written on spot prices. The input option market prices and output calibrated option prices are entered in terms of Black-Scholes implied volatility.
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- Expertise: Our expert quant/developer staff has years of derivatives experience developing pricing models for financial institutions around the globe.
- Industry standard or customized derivatives solutions: Comprehensive selection of industry standard derivatives pricing models and calibrators, any of which can be customized to meet your exact needs.
- Pricing models tailored to customer requirements: Customers may specify model features such as the underlying dynamics, the market data and formats, and model output, or they may default such decisions to our expert quant/developer staff.
- Performance enhanced pricing models: GPU-enabled or OpenMP-compliant derivatives pricing models.
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