Overview - 2023.2 English

Vitis Libraries

Release Date
2023.2 English

Heston Model is the most classic model for stock price. European option is an option that can only be exercised at the expiration date. MCMultiAssetEuropeanHestonEngine aims to calculate pay off of European option whose underlying asset is sum of multiple underlying assets. These assets may influence each other which means their volatility is not independent. We use a matrix to describe their correlations. This engine uses this matrix so calculate random variables that have that correlation. Then it uses large number of random samples to simulate stock prices’ dynamic based on Heston Model. And finally calculates value of option which use these stock as underlying assets.