Re: Calculating Volatility using heston Model

Posted by asasi on May 03, 2010; 2:21pm
URL: http://quantlib.414.s1.nabble.com/Calculating-Volatility-using-heston-Model-tp8110p8114.html

Hi, I would be interested in the sample code you mentioned. thanks. AS

MH_quant wrote

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If you like and you don't get along with the quantlib testsuit, I can
quickly create a little program for you that calibrates a heston model to
liquid market instruments, controls the calibration error and returns you
the Heston Model implied volatility for a arbitrary call option with some
random strike and maturity??
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