Using stochastic volatility to price options

Discussion in 'Options' started by Steven676, Jul 12, 2011.

  1. Hello,

    Where can I find a trading platform, spreadsheet, website, etc. where I can use stochastic volatility to model prices for options? Thanks in advance to anyone who replies.

    - Steven
     
  2. VGSSD

    VGSSD

    pretty sure you can do this in R then export to spreadsheet if you wish...if you don't program in R, its pretty easy to learn(very similar to matlab if you know how to program in that)
     
  3. VGSSD

    VGSSD

    This should be fairly easy to do in R.
     
  4. rmorse

    rmorse ET Sponsor

    Instinet has an options platform that we offer called Trade Speed that allows you to create your own option skew or match the current one.
     
  5. rmorse

    rmorse ET Sponsor

    What is "R"
     
  6. A statistical package... Sorta like a public domain Matlab, but more geared towards statistics and time series analysis.
     
  7. spec77

    spec77

    Hoadley is inexpensive and has SABR. Fincad has Heston and local vol but expensive. Another alternative is the book "options pricing and volatility in VBA". I believe it has a chapter on Heston

    Good luck