05-04-2014 09:44 AM
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.
05-06-2014 03:35 AM
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