F# and QuantLib: An Introduction


Is this the correct value for the price of the call option?

Your Answer

In my opinion not, but maybe I am wrong. Hi Boulala, The volatilities that you get from your favorite provider are just implied vols, helping you to get using the BS formula an option price. You get basically a volatility surface of implied vols. But why one needs to calibrate on that surface? Why one needs a model if we have already these data sets? You select a model like the Heston one: You select the Dupire local vol model, which does not require any additional parameter, hence no calibration and gives you a bivariate function of volatility for any strike, tenor couple.

Then both gives you a process for the underlying FX rate. Only issue here is that Heston can also have moment explosions but that's another topic. I hope this helps. Do not hesitate if you have more questions. The smile calibration issue with BS for FX is well-known and probably well documented.

Thanks for the very detailed answer. This helps me a lot! It is GPL compatible. The software provides various facilities for computing values of financial instruments and related calculations. It is a major example of Mathematical finance. Its main use is in quantitative analysis. The financial instruments and derivatives it can evaluate include.

From Wikipedia, the free encyclopedia. This article has multiple issues. Please help improve it or discuss these issues on the talk page. Learn how and when to remove these template messages. The topic of this article may not meet Wikipedia's notability guidelines for products and services. Please help to establish notability by citing reliable secondary sources that are independent of the topic and provide significant coverage of it beyond a mere trivial mention.

If notability cannot be established, the article is likely to be merged , redirected , or deleted. This article includes a list of references , related reading or external links , but its sources remain unclear because it lacks inline citations. Please help to improve this article by introducing more precise citations.