I would like to use QuantLib (and in particular the python wrapper) to value FX option using the Heston model. Thanks to http://gouthamanbalaraman.com and all of the articles therein : in particular http://gouthamanbalaraman.com/blog/valuing-european-option-heston-model-quantLib.html for valuing equity options via heston and by looking into the C++ code, I have been able to value FX options using the GKM model. I would be super appreciate even for a pointer to the correct area of the C++ code as even with this, I should be able to deduce the correct python calls.

It could very well be there are no closed form solution and one needs to resolve to Monte Carlo, although the paper : https://arxiv.org/pdf/1010.1617.pdf seems to suggest otherwise (in particular page 5).



Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.