Help using Base SAS procedures

Stochastic Volatility

New Contributor
Posts: 2

Stochastic Volatility

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.


SAS Employee
Posts: 35

Re: Stochastic Volatility

Posted in reply to Seer_Hassa

Hi - I am moving your question over to the so that it can be answered by one of our SAS experts.



Trusted Advisor
Posts: 3,215

Re: Stochastic Volatility

Posted in reply to Seer_Hassa

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

---->-- ja karman --<-----
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