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Re: Calculating Volatility using heston Model

Posted by dhoorens on Jul 28, 2009; 12:20pm
URL: http://quantlib.414.s1.nabble.com/Calculating-Volatility-using-heston-Model-tp8110p8118.html


MH_quant wrote
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??
Hi
I'm not the original author, but I will definitively be interested by such a code :-)
Thanks

Regards
David