Using a calibrated heston model.

[nabbleuser2008]

Hi,
 If I have a heston model calibrated using call options, can I use this calibrated model to price put options too ?

 Thank you very much.

C

[Klaus Spanderen-2]

Hi

yes, the Heston vanilla engine works for european call as well as for puts.
The only thing you have to do is to change the option type of your
VanillaOption.

Klaus

On Wednesday 06 August 2008 22:24:11 nabbleuser2008 wrote:
> Hi,
>  If I have a heston model calibrated using call options, can I use this
> calibrated model to price put options too ?
>
>  Thank you very much.
>
> C



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[nabbleuser2008]

Hi, Klaus,
 Thanks much for confirming what I kind of expected. My program produced what seemed like reasonable numbers for Puts, but I wanted to make sure. ;)

 Thanks again.

C

Klaus Spanderen-2 wrote

Hi

yes, the Heston vanilla engine works for european call as well as for puts.
The only thing you have to do is to change the option type of your
VanillaOption.

Klaus

On Wednesday 06 August 2008 22:24:11 nabbleuser2008 wrote:
> Hi,
>  If I have a heston model calibrated using call options, can I use this
> calibrated model to price put options too ?
>
>  Thank you very much.
>
> C



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Build the coolest Linux based applications with Moblin SDK & win great prizes
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[blacksox]

Hi ,

do you know if it is possible to use the heston vanilla engine in QuantlibXL?
i would like to calibrate and price options with the Heston model but I don't use C++.

thank you