[R-SIG-Finance] Heston SV model implementation

[Krishna Kumar]

This paper describes both doing brute-force numerical integration and 
using the carr-madan fft to compute vanilla prices.
www.cam.wits.ac.za/mfinance/projects/nimalinmoodley.pdf
Once you can price these vanillas under heston in R  then Calibration 
can be done with optim or any of the other packages.

udai wrote:
> Hi,
>
> I am looking for Heston SV model implementation, parameter estimation
> (using MLE) modules for R. In case this is not available for R please
> suggest alternative tools.
>
>
> Udai
> IIM Ahmedabad
>
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