search for: hestoncall

...language for me so sorry in advance if this error is to basic for posting. I have tried the R manual and search online for quite a few, if anyone could help i would be very thankful. Here is my code. kappa = 1.1 theta = 0.1 sigma = 0.4 rho = -0.6 v0 = 0.2 r = 0.05 T = 0.5 s0 = 1 K = 0.5 type = 1 Hestoncall = function(kappa,theta,sigma,rho,v0,r,T,s0,K,type) { u = 0.5 b = kappa-rho*sigma a = kappa*theta x = log(s0) Hestf = function(phi) { d = sqrt((b-rho*sigma*phi*complex(1,0,1)-b )^2-sigma^2*(2*u*phi^2)) g = (b-rho*sigma*phi*complex(1,0,1)+d)/(b-rho*sigma*p...

...;- (beta + d)/(eta^2) rminus <- (beta - d)/(eta^2) g <- rminus / rplus D <- rminus * (1 - exp(-d*t))/ (1 - g*exp(-d*t)) C <- lambda* (rminus * t - 2/eta^2 * log( (1 - g*exp(-(d*t)))/(1 - g)) ) return(exp(C*theta + D*v0)) } } ## Calculating the Heston model price with fourier HestonCall<-function(k,t) { res<-Price_callVec(phiHeston(kappa, rho, eta, theta, v0),k,t) return(res) } ##### Vectorizing the function to handle vectors of strikes and maturities HestonCallVec <- function(k,t) { mapply (HestonCall, k, t) } lb <- c(0, -0.9, 0, 0, 0) ub <- c(100, 0.9, 0.5, 1, 1...