Calibration Heston Model via Python

最新推荐文章于 2023-04-06 16:28:27 发布

zhucai4

最新推荐文章于 2023-04-06 16:28:27 发布

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分类专栏： quantitative finance 文章标签： Derivatives python

本文链接：https://blog.csdn.net/zhucai4/article/details/46315721

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本文介绍了使用Python进行Heston模型的半封闭形式定价公式，通过优化方法确定模型参数。

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Semi-Closed-Form of Pricing Formula

import numpy as np

import scipy.integrate as spi

def Heston_Call_Value_Int(kappa, theta, sigma, rho, v0, r, T, s0, K):
    a = s0*Heston_P_Value(kappa, theta, sigma, rho, v0, r, T, s0, K, 1)
    b = K*np.exp(-r*T)*Heston_P_Value(kappa, theta, sigma, rho, v0, r, T, s0, K, 2)
    #print (a,b)    
    return a-b
    
def Heston_P_Value(kappa, theta, sigma, rho, v0, r, T, s0, K, type):
    ifun = lambda phi: Int_Function_1(phi, kappa, theta, sigma, rho, v0, r, T, s0, K, type)
    return 0.5 + (1/np.pi)*spi.quad(ifun, 0, 100)[0]
    
def Int_Function_1(phi, kappa, theta, sigma, rho, v0, r, T, s0, K, type):
    temp = (np.exp(-1*1j*phi*np.log(K))*Int_Function_2(phi, kappa, theta, sigma, rho, v0, r, T, s0, K, type))    
    return temp
    
def Int_Function_2(phi, kappa, theta, sigma, rho, v0, r, T, s0, K, type):
    if type==1:
        u = 0.5
        b = kappa