Heston Call Option Price using Monte Carlo [Excel VBA]

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Heston Call Option Price using Monte Carlo
Submitter: vanna	Date: 2007/7/9

Description: This spreadheet calculates euoropean call option prices in Heston Model using Monte carlo simulation and plots implied volatility curve. Resulting values can be compared to values mentioned in table 1 in http://www.wilmott.com/pdfs/051111_mikh.pdf. Error is around 0.01 for 20000 simulations Got a question or problem with this link? Just enter your message and click on submit. No registration is required. Note: A copy of this message will also be emailed to the submitter of this link
5825 0 bytes Excel VBA http://www.quantcode.com/
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theta	Posted: 2008/2/1 20:36 Updated: 2008/2/1 20:37
Just popping in Joined: 2008/2/1 From: Posts: 4	Re: Heston Call Option Price using Monte Carlo Please see my comments on this thread

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