[R-SIG-Finance] heston model simulation

[stefano iacus]

Please have a look at the Yuima package

or google around for "yuima package heston model"
e.g.

http://eizoo.hatenablog.com/entry/2014/02/26/162510

there were even youtube movies :)

Hope it helps
Stefano

Il giorno 16/nov/2014, alle ore 06:19, jun wang <junluke at gmail.com> ha scritto:

> Dear all,
> 
> I am using the following code for simulating Heston model. I am trying to
> compare skewness with respect to different Rhos, but it doesn't seem to
> work. Any body can tell me what is happening? I am using Euler-Maruyama
> Monte Carlo. Here is my sample code. Any hints would be really appreciated.
> 
> 
> 
> theta=0.04
> alpha=1.5
> #delta=0.5
> #rho=-0.9
> n=100
> m=1000
> 
> heston_sim<-function(rho,delta,m,mu){
> s<-matrix(NA,n,m)
> v<-matrix(NA,n,m)
> for (j in 1:m){
> for (i in 2:n) {
> s[1,j]=2
> v[1,j]=0.4
> dt=1/100
> zv<-rnorm(1)
> zs<-rnorm(1)
> zx<-rho*zv+sqrt(1-rho^2)*zs
> w1<-zv*sqrt(dt)
> w2<-zx*sqrt(dt)
> s[i,j]=s[i-1,j]+(mu-0.5*max(v[i-1,j],0))*dt+sqrt(max(v[i-1,j],0))*w2
> v[i,j]=v[i-1,j]+alpha*(theta-v[i-1,j])*dt+sqrt(max(v[i-1,j],0))*delta*w1
> }
> }
> return(s)
> }
> s1<-heston_sim(-1,0.1,1000,0)
> s2<-heston_sim(0,0.1,1000,0)
> s3<-heston_sim(0.7,0.1,1000,0)
> 
> a1<-c(diff(s1,lag=1)*100)
> a2<-c(diff(s2,lag=1)*100)
> a3<-c(diff(s3,lag=1)*100)
> 
> 
> 
> plot(density(na.omit(a1),bw=0.5),main="",ylim=c(0,0.2))
> lines(density(na.omit(a2),bw=0.5),col=2)
> lines(density(na.omit(a3),,bw=0.5),col=3)
> legend('topright',legend=c(expression(paste(rho,
> "=--0.3")),expression(paste(rho, "=0")),expression(paste(rho,
> "=0.5"))),col=1:3,lty=1)
> 
> 	[[alternative HTML version deleted]]
> 
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