Volatility Surface in the Heston Model


demonstrations.wolfram.com The Wolfram Demonstrations Project contains thousands of free interactive visualizations, with new entries added daily. The plot shows the volatility surface generated by the Heston stochastic volatility model (Heston 1993). This is implied volatility based on the Heston price, which depends on the time to expiration and on moneyness. Recall that for a call option, money… Contributed by: Slava Solganik

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This entry was posted on Thursday, August 19th, 2010 at 11:37 am and is filed under implied volatility. You can follow any responses to this entry through the RSS 2.0 feed. You can leave a response, or trackback from your own site.

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