quantlib.models.equity.heston_model.

HestonModel

class HestonModel(HestonProcess process)

Bases: object

Heston model for the stochastic volatility of an asset

Attributes:
kappa

variance mean reversion speed

rho

correlation

sigma

volatility of the volatility

theta

variance mean reversion level

v0

spot variance

Methods

calibrate(self, list helpers, ...)

process(self)

underlying process

References

Heston, Steven L., 1993. “A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options.” The review of Financial Studies, Volume 6, Issue 2, 327-343.