How to create Heston Stochastic Volatility Models in MATLAB
From the Matlab Econometric toolbox help system:
The Heston (heston) class derives directly from SDE from Drift and Diffusion (SDEDDO). Each Heston model is a bivariate composite model, consisting of two coupled univariate models: (10-5)
(10-6)
Equation 10-5 is typically associated with a price pro…
