Stochastic volatility lab

Heston Warrant Workbench

Active model

03

Valuation

Ready

Heston warrant - Selected model · dilution adjusted
Heston warrant - Call value -
Black-Scholes warrant - Call value -
Heston premium - Relative to BS warrant
Initial volatility
-
Long-run volatility
-
Dilution factor
-
Heston adjusted spot
-
Heston iterations
-
Heston residual
-

04

Implied volatility smile

Same expiry, repriced across strikes

Heston IV BS benchmark

Waiting for model output.

05

ATM volatility term structure

Spot strike, repriced across maturities

Heston IV BS benchmark

Waiting for model output.