My tool of choice to visualise this relationship is Mathematica with its interactive functionality. The linked cdc is form the Wolframs Demonstration Project. For the calculations characteristic function methods are used.
It is playtime again - The Heston volatility surface
In our model blog post series we are currently discussing the Heston model. After a short description of the model and its characteristic function we will examine today how the model parameters relate to the volatility surface.
My tool of choice to visualise this relationship is Mathematica with its interactive functionality. The linked cdc is form the Wolframs Demonstration Project. For the calculations characteristic function methods are used.
My tool of choice to visualise this relationship is Mathematica with its interactive functionality. The linked cdc is form the Wolframs Demonstration Project. For the calculations characteristic function methods are used.
