# S = 100; # Spot price
# X = 100; # K equivalent - strike price
# v = 0.010201; # v0 equivalent - current variance of the underlying asset
# k = 6.21; # kappa - rate of mean reversion
# theta = 0.019; # long term mean
# sigma = 0.61; # ksi equivalent - vol of vol
# rho = -0.7; # correlation between Wiener processes
# r = 0.0319; # mu equivalent - risk-free rate of return
# tau = 1.0; # T equivalent - Time to expiration in years
# N=100000; # Number of simulations
# t = 0 # initial value
# dt <- 0.01
S = 100; # Spot price
X = 100; # K equivalent - strike price
v = 0.09; # v0 equivalent - current variance of the underlying asset
k = 2; # kappa - rate of mean reversion
theta = 0.09; # long term mean
sigma = 0.2; # ksi equivalent - vol of vol
rho = -0.3; # correlation between Wiener processes
r = 0.05; # mu equivalent - risk-free rate of return
tau = 1.0; # T equivalent - Time to expiration in years
N=1000; # Number of simulations
t = 0 # initial value
dt <- 0.05
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.