Can someone help me with calculating Stochastic Volatility (of stocks and options) using SAS please? I am new to SAS and I am trying to use Heston model, White-Hull model or any other suitable model but have no idea how to do this in SAS. Any help, any codes, any tips, any warnings are all welcome. I am using FTSE data at the moment. Thank you in advance.
Seer.
Hi - I am moving your question over to the support.sas.communities so that it can be answered by one of our SAS experts.
Thanks
Jennifer
As you are new to SAS there are two issues.
1/ What do you have available of the SAS tools and what are you skills with that.
2/ Translation of your question/issue Stochastic volatility to using SAS
That is a lot of financial math behind: Heston model - Wikipedia, the free encyclopedia
As it is time-series possible SAS/ETS will have something for that SAS/ETS(R) 13.1 User's Guide
Don't miss out on SAS Innovate - Register now for the FREE Livestream!
Can't make it to Vegas? No problem! Watch our general sessions LIVE or on-demand starting April 17th. Hear from SAS execs, best-selling author Adam Grant, Hot Ones host Sean Evans, top tech journalist Kara Swisher, AI expert Cassie Kozyrkov, and the mind-blowing dance crew iLuminate! Plus, get access to over 20 breakout sessions.
Learn the difference between classical and Bayesian statistical approaches and see a few PROC examples to perform Bayesian analysis in this video.
Find more tutorials on the SAS Users YouTube channel.