Plain Vanilla Options - Heston Model

A pricing method for European option based on Fourier-Cosine series expansions

Model Parameters

$$ \mu $$

$$ v_0 $$

$$ \hat{v} $$

$$ \chi $$

$$ \rho $$

$$ \lambda $$

Contract Parameters

Spot Price

Time to Maturity (Years)

Interest Rate $(\%) $

Dividend Yield $(\%) $

Strike Price Range & Option Type

Strike Min

Strike Max

Option Type

Table of Volatility & Prices

Strike	Prices	Implied Volatility