NAG Library Manual, Mark 28.3
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NAG CL Interface Introduction
Example description

nag_specfun_opt_heston_greeks (s30nbc) 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
                           Vanna      Charm      Speed      Zomma      Vomma
                         -0.5643    -0.0321    -0.0023    -0.1976  -321.0780