NAG Library Manual, Mark 30
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NAG CL Interface Introduction
Example description

nag_specfun_opt_heston_price (s30nac) Example Program Results
Heston's Stochastic volatility Model

European Call :

  Spot                   = 100.0000
  Volatility of vol      =   0.2250
  Mean reversion         =   2.0000
  Correlation            =   0.0000
  Variance               =   0.0100
  Mean of variance       =   0.0100
  Risk aversion          =   1.0000
  Rate                   =   0.0500
  Dividend               =   0.0000

   Strike    Expiry   Option Price
 100.0000    0.5000      4.0851