S30NBF Example Program Results

 Heston's Stochastic volatility Model
 European Call :
  Spot                   =    100.0000
  Volatility of vol      =      0.5751
  Mean reversion         =      1.5768
  Correlation            =     -0.5711
  Variance               =      0.0175
  Mean of variance       =      0.0398
  Risk aversion          =      1.0000
  Rate                   =      0.0250
  Dividend               =      0.0000


 Time to Expiry :    1.0000
   Strike       Price      Delta      Gamma      Vega       Theta      Rho
   100.0000     7.2743     0.6945     0.0251    52.5461    -4.9969    62.1735
   Strike       Price      Vanna      Charm      Speed      Zomma      Vomma
   100.0000     7.2743    -0.5643    -0.0321    -0.0023    -0.1976  -321.0780