CapeTools Heston Calibration
http://www.QuantTools.com
In total there are 5 functions present within the CapeTools Heston Calibration category of functions.
General Description
Functions for calibrating the parameters of the following Heston, Bates models :
- Heston model
- Bates model
- Bates Double-Exponential Jump Diffusion with Deterministic Jump Intensity model
- Bates Log-Normal Jump Diffusion with Deterministic Jump Intensity model
- Bates Double-Exponential Jump Diffusion model
You can selectively fix the values of some of the parameters and calibrate the others.
Function list.
- CalibBates - Calibrates the parameters of the Bates model (v0, kappa, theta, sigma, rho, lambda, nu and delta).
- CalibBatesDblExpDetJump - Calibrates the parameters of the Bates Double-Exponential Jump Diffusion with Deterministic Jump Intensity model (v0, kappa, theta, sigma, rho, lambda, nu_u, nu_d, prob, kappaL and thetaL).
- CalibBatesDetJump - Calibrates the parameters of the Bates Log-Normal Jump Diffusion with Deterministic Jump Intensity model (v0, kappa, theta, sigma, rho, lambda, nu, delta, kappaL and thetaL).
- CalibBatesDoubleExp - Calibrates the parameters of the Bates Double-Exponential Jump Diffusion model (v0, kappa, theta, sigma, rho, lambda, nu_u, nu_d and prob).
- CalibHeston - Calibrates the parameters of the Heston model (v0, kappa, theta, sigma and rho).
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