Heston Model

    
Define the Ito process of the correlated two-dimensional Wiener process:
In[32]:=
Click for copyable input
Define the Heston model by SDEs driven by the correlated 2D Wiener process:
In[33]:=
Click for copyable input
Simulate the model using the stochastic Runge-Kutta scheme:
In[34]:=
Click for copyable input
Visualize paths:
In[35]:=
Click for copyable input
Out[35]=
New to Mathematica? Find your learning path »
Have a question? Ask support »