What are the five Heston parameters?

kappa = mean reversion speed, theta = long-run variance, sigma = vol of vol, rho = correlation between stock and variance, v0 = initial variance. All must be estimated from market data.

What is the Feller condition?

2*kappa*theta > sigma^2 ensures the variance process remains positive. Violating it allows variance to hit zero, causing numerical instability.

Heston Stochastic Volatility Option Price Calculator

Price European options under Heston stochastic volatility. Uses characteristic function and Fourier inversion with five parameters: kappa, theta, sigma, rho, v0.

Principal ($)

Annual Rate (%)

Years

Compounding / Year

$ Finance Disclaimer: These calculators are for educational and illustrative purposes only. Results do not constitute financial advice. Consult a licensed financial advisor before making investment or borrowing decisions.

How to Use

Enter the values for the scenario you are assessing. Price European options under Heston stochastic volatility. Uses characteristic function and Fourier inversion with five parameters: kappa, theta, sigma, rho, v0. Use the heston model price result to inform your calculation.

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Frequently Asked Questions

What are the five Heston parameters?

What is the Feller condition?