Stochastic Volatility - SAS Support Communities

Calcite | Level 5

Calcite | Level 5

Stochastic Volatility

Posted 05-04-2014 09:44 AM (921 views)

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.

2 REPLIES 2

SAS Employee

SAS Employee

Re: Stochastic Volatility

Posted 05-05-2014 01:34 PM (836 views) | In reply to Seer_Hassa

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

Barite | Level 11

Barite | Level 11

Re: Stochastic Volatility

Posted 05-06-2014 03:35 AM (836 views) | 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 --<-----