nag_specfun_opt_heston_term (s30ncc) Example Program Results

Heston's Stochastic volatility Model with Term Structure
European Call :
  Forward                =  100.0000
  Discount Factor        =    1.0000
  Variance               =    1.0000

   ts        alpha     lambda    corr      sigmat
   0.3500    2.2500    2.0000   -0.0500    0.0400
   0.6500    1.5000    1.5000    0.1000    0.1300

   Strike    Expiry       Option Price
 100.0000    1.0000       4.0074