Using stochastic volatility to price options

[Steven676]

Hello,

Where can I find a trading platform, spreadsheet, website, etc. where I can use stochastic volatility to model prices for options? Thanks in advance to anyone who replies.

- Steven

 

[VGSSD]

pretty sure you can do this in R then export to spreadsheet if you wish...if you don't program in R, its pretty easy to learn(very similar to matlab if you know how to program in that)

 

[Martinghoul]

You might find some stuff here (I can see an implementation of CEV, for instance):
http://www.global-derivatives.com/index.php?option=com_content&task=view&id=173

 

[VGSSD]

This should be fairly easy to do in R.

 

[rmorse]

Instinet has an options platform that we offer called Trade Speed that allows you to create your own option skew or match the current one.

 

[rmorse]

Quote from VGSSD:

This should be fairly easy to do in R.

What is "R"

 

[Martinghoul]

A statistical package... Sorta like a public domain Matlab, but more geared towards statistics and time series analysis.

 

[spec77]

Quote from Steven676:

Hello,

Where can I find a trading platform, spreadsheet, website, etc. where I can use stochastic volatility to model prices for options? Thanks in advance to anyone who replies.

- Steven

Hoadley is inexpensive and has SABR. Fincad has Heston and local vol but expensive. Another alternative is the book "options pricing and volatility in VBA". I believe it has a chapter on Heston

Good luck

 

[Kevin Schmit]

Quote from Steven676:

Where can I find a trading platform, spreadsheet, website, etc. where I can use stochastic volatility to model prices for options?

http://www.optioncity.net/download/OCRel11Free.zip