# gnuplot datafile # # the following heston parameters have been used: # mu = # theta = 0.011875986529 # kappa = 1.98937 # xi = 0.33147 # rho = 0.0258519 # v_0 = 0.01432809 # S_0 = 123.4 # # -------------------- # spot data # -------------------- # spot path 0 0 123.4 0.0027397260273973 123.00732901095 0.0054794520547945 123.32956196764 0.0082191780821918 123.30933090189 0.010958904109589 123.64210551473 0.013698630136986 122.48213200899 0.016438356164384 122.67915921807 0.019178082191781 123.40868286407 0.021917808219178 123.70394640123 0.024657534246575 124.33126973486 0.027397260273973 124.29250859762 0.03013698630137 124.26025771763 0.032876712328767 123.28980978261 0.035616438356164 123.13270008509 0.038356164383562 124.2433957542 0.041095890410959 126.45282659997 0.043835616438356 126.58820834142 0.046575342465753 128.75878651869 0.049315068493151 129.08035547986 0.052054794520548 129.15723232848 0.054794520547945 128.5164033174 0.057534246575342 128.38602457423 0.06027397260274 129.33896147543 0.063013698630137 129.63530867104 0.065753424657534 129.11645048419 0.068493150684932 129.3826598788 0.071232876712329 128.75081400442 0.073972602739726 128.99718702016 0.076712328767123 128.56522482759 0.079452054794521 128.62220227675 0.082191780821918 129.95682687979 0.084931506849315 129.78591033846 0.087671232876712 129.87673582333 0.09041095890411 129.6285853568 0.093150684931507 129.93803750748 0.095890410958904 130.50559644323 0.098630136986301 129.04877454741 0.1013698630137 130.15432932313 0.1041095890411 129.73644179889 0.10684931506849 129.88380311733 0.10958904109589 130.57299031944 0.11232876712329 130.97230514811 0.11506849315068 130.82225778927 0.11780821917808 130.34255383565 0.12054794520548 130.17924503615 0.12328767123288 130.09153738586 0.12602739726027 131.29657830002 0.12876712328767 130.85336766568 0.13150684931507 131.21158861384 0.13424657534247 130.30262090809 0.13698630136986 130.67966632896 0.13972602739726 130.51338273753 0.14246575342466 129.78082749899 0.14520547945205 130.67483950374 0.14794520547945 130.88006068865 0.15068493150685 131.63976516449 0.15342465753425 132.86224495495 0.15616438356164 131.6948429604 0.15890410958904 131.45379162022 0.16164383561644 130.77379598414 0.16438356164384 129.90528727969 0.16712328767123 130.96616064432 0.16986301369863 131.60125674862 0.17260273972603 131.70902647308 0.17534246575342 132.34606075103 0.17808219178082 131.80267108325 0.18082191780822 131.96210643273 0.18356164383562 131.89172434928 0.18630136986301 131.10522042432 0.18904109589041 131.32099906322 0.19178082191781 131.2350532183 0.19452054794521 130.65402675448 0.1972602739726 130.51078314192 0.2 130.65570040344 0.2027397260274 129.53393513647 0.20547945205479 129.07478684406 0.20821917808219 128.54885640052 0.21095890410959 128.19038271027 0.21369863013699 128.62425216543 0.21643835616438 128.95029851314 0.21917808219178 127.49974756137 0.22191780821918 127.55403471534 0.22465753424658 127.23465562313 0.22739726027397 126.89161766909 0.23013698630137 126.55631100718 0.23287671232877 126.38623374205 0.23561643835616 126.35050866832 0.23835616438356 126.17729255369 0.24109589041096 126.0811727369 0.24383561643836 127.3073965402 0.24657534246575 127.15620854004 0.24931506849315 127.83092674684 0.25205479452055 127.3963047818 0.25479452054795 126.66904271871 0.25753424657534 127.37235055114 0.26027397260274 126.99345795411 0.26301369863014 126.42055873595 0.26575342465753 126.6496637054 0.26849315068493 126.94133268432 0.27123287671233 126.29753036292 0.27397260273973 126.67086190303 0.27671232876712 125.91316219954 0.27945205479452 125.3805983747 0.28219178082192 124.78383459594 0.28493150684932 125.20448577483 0.28767123287671 125.47506152575 0.29041095890411 125.42631153025 0.29315068493151 125.4816375447 0.2958904109589 125.21179368438 0.2986301369863 125.85104972259 0.3013698630137 125.00576108917 0.3041095890411 125.36091743297 0.30684931506849 125.14265767847 0.30958904109589 124.96147023211 0.31232876712329 124.97674248778 0.31506849315068 124.48693207737 0.31780821917808 124.86664236443 0.32054794520548 126.08880159286 0.32328767123288 125.63955191628 0.32602739726027 125.21129729992 0.32876712328767 125.64154239681 0.33150684931507 125.75770410815 0.33424657534247 125.32309718613 0.33698630136986 125.29481502615 0.33972602739726 124.50927189494 0.34246575342466 124.81061798196 0.34520547945205 124.41532809669 0.34794520547945 125.36331933527 0.35068493150685 124.35689160727 0.35342465753425 123.95038102557 0.35616438356164 123.74203460456 0.35890410958904 123.45866998375 0.36164383561644 123.71990277009 0.36438356164384 122.97394646999 0.36712328767123 122.18523469394 0.36986301369863 122.19815466209 0.37260273972603 123.14237144786 0.37534246575342 122.64811819852 0.37808219178082 122.72090107791 0.38082191780822 122.86646147535 0.38356164383562 122.99569532843 0.38630136986301 123.25547735523 0.38904109589041 122.67114332575 0.39178082191781 122.86293967122 0.39452054794521 122.36836710043 0.3972602739726 121.82567245753 0.4 121.96751444667 0.4027397260274 122.39729958724 0.40547945205479 121.88747623268 0.40821917808219 121.84922100126 0.41095890410959 121.82339696338 0.41369863013699 121.67205828833 0.41643835616438 121.65972503357 0.41917808219178 121.6306492256 0.42191780821918 121.71267765455 0.42465753424658 121.95795369914 0.42739726027397 121.92426413028 0.43013698630137 122.04445789405 0.43287671232877 121.77596905498 0.43561643835616 122.07028059634 0.43835616438356 121.96869724302 0.44109589041096 121.69572402025 0.44383561643836 121.89611039238 0.44657534246575 121.48680676169 0.44931506849315 121.17886698572 0.45205479452055 121.08010466171 0.45479452054795 121.82153822576 0.45753424657534 121.95417502606 0.46027397260274 121.4075921965 0.46301369863014 121.59216721892 0.46575342465753 121.47158855943 0.46849315068493 122.21016676682 0.47123287671233 122.03194852114 0.47397260273973 121.57596611989 0.47671232876712 121.3044691626 0.47945205479452 121.1513163769 0.48219178082192 121.09888578741 0.48493150684932 120.92098550162 0.48767123287671 120.8589993392 0.49041095890411 120.84674849993 0.49315068493151 120.79750765015 0.4958904109589 120.68122869614 0.4986301369863 120.59550005155 # # # -------------------- # variance data # -------------------- # variance path 0 0 0.01432809 0.0027397260273973 0.013064956381467 0.0054794520547945 0.015881087723524 0.0082191780821918 0.016972289562176 0.010958904109589 0.015809526961309 0.013698630136986 0.016361228102959 0.016438356164384 0.015680793770228 0.019178082191781 0.01957508848339 0.021917808219178 0.020558440446807 0.024657534246575 0.018905627468019 0.027397260273973 0.01783153458221 0.03013698630137 0.015576479114735 0.032876712328767 0.01607216899306 0.035616438356164 0.014416870630198 0.038356164383562 0.016395349619835 0.041095890410959 0.018863464690591 0.043835616438356 0.017655389845509 0.046575342465753 0.017382424332078 0.049315068493151 0.017988343725882 0.052054794520548 0.017538243574684 0.054794520547945 0.019420501268884 0.057534246575342 0.018518898569761 0.06027397260274 0.019982173730065 0.063013698630137 0.022839921003839 0.065753424657534 0.018234148663896 0.068493150684932 0.013470696295446 0.071232876712329 0.011733354812121 0.073972602739726 0.01306674529725 0.076712328767123 0.015571781048045 0.079452054794521 0.016271242807104 0.082191780821918 0.016784676544238 0.084931506849315 0.012492542341128 0.087671232876712 0.010497062092966 0.09041095890411 0.010510161397314 0.093150684931507 0.013684901518822 0.095890410958904 0.012166697533181 0.098630136986301 0.013754753100715 0.1013698630137 0.012263261248829 0.1041095890411 0.0090520399304851 0.10684931506849 0.0081553536938619 0.10958904109589 0.0071589041759803 0.11232876712329 0.0089826397044878 0.11506849315068 0.007412039329132 0.11780821917808 0.009934497942437 0.12054794520548 0.0087715042313804 0.12328767123288 0.0089806798805877 0.12602739726027 0.0084398916704138 0.12876712328767 0.010715766784276 0.13150684931507 0.012244682073025 0.13424657534247 0.012694503135226 0.13698630136986 0.01165746837696 0.13972602739726 0.014899320509587 0.14246575342466 0.015595606452221 0.14520547945205 0.013071297639566 0.14794520547945 0.010495421821563 0.15068493150685 0.010877690890967 0.15342465753425 0.01071580030547 0.15616438356164 0.0093722210327576 0.15890410958904 0.0082541806383303 0.16164383561644 0.010392393287996 0.16438356164384 0.0095964967394199 0.16712328767123 0.011627781237322 0.16986301369863 0.010799258419221 0.17260273972603 0.0076735640105443 0.17534246575342 0.0084156070022964 0.17808219178082 0.0067890062420108 0.18082191780822 0.0067237408275508 0.18356164383562 0.0078356334730757 0.18630136986301 0.0077579152067908 0.18904109589041 0.0079034836379236 0.19178082191781 0.0066465410745388 0.19452054794521 0.0072643734527427 0.1972602739726 0.0086580734122436 0.2 0.012229137538829 0.2027397260274 0.013938727445081 0.20547945205479 0.012202182782956 0.20821917808219 0.011790488949771 0.21095890410959 0.013238800624593 0.21369863013699 0.012523420123956 0.21643835616438 0.010931075642893 0.21917808219178 0.0085387741195329 0.22191780821918 0.010299914665315 0.22465753424658 0.0088923648680839 0.22739726027397 0.0074197077428869 0.23013698630137 0.009065714764536 0.23287671232877 0.0088708493362432 0.23561643835616 0.0096551504208031 0.23835616438356 0.008127973095674 0.24109589041096 0.0089189387731999 0.24383561643836 0.0089632156509809 0.24657534246575 0.0087485387810458 0.24931506849315 0.0085180454069128 0.25205479452055 0.008488041094826 0.25479452054795 0.0086155147915022 0.25753424657534 0.0078446288994505 0.26027397260274 0.0071931418021595 0.26301369863014 0.010122121762873 0.26575342465753 0.0091982000563236 0.26849315068493 0.0082967041813208 0.27123287671233 0.006969762834179 0.27397260273973 0.0068843578159962 0.27671232876712 0.0063705133140772 0.27945205479452 0.0061501469935279 0.28219178082192 0.0081947985532593 0.28493150684932 0.0088089978261103 0.28767123287671 0.0088072186104136 0.29041095890411 0.0094046565443349 0.29315068493151 0.009236413863214 0.2958904109589 0.0067628057078811 0.2986301369863 0.0076190513214618 0.3013698630137 0.0067365571114314 0.3041095890411 0.0082763049446096 0.30684931506849 0.0093160942136408 0.30958904109589 0.0071140981964111 0.31232876712329 0.0062723012639958 0.31506849315068 0.0067457271201178 0.31780821917808 0.0077757740712516 0.32054794520548 0.0054501283808188 0.32328767123288 0.0047256308380672 0.32602739726027 0.0057814836177953 0.32876712328767 0.0064955249152253 0.33150684931507 0.0091325559713709 0.33424657534247 0.0084843532354975 0.33698630136986 0.0075212346090144 0.33972602739726 0.0047076208858354 0.34246575342466 0.0054857166576879 0.34520547945205 0.0048451698355419 0.34794520547945 0.0063914285433591 0.35068493150685 0.0074510270429023 0.35342465753425 0.0052150943784092 0.35616438356164 0.0047964035555171 0.35890410958904 0.0064524396662305 0.36164383561644 0.0072612331250619 0.36438356164384 0.0076345994294027 0.36712328767123 0.0098926687769706 0.36986301369863 0.01188678423947 0.37260273972603 0.0091603299455543 0.37534246575342 0.0075384533583046 0.37808219178082 0.0064147934178061 0.38082191780822 0.0059940853071659 0.38356164383562 0.0071808326867352 0.38630136986301 0.0071181852086663 0.38904109589041 0.009736496797987 0.39178082191781 0.0089154932313877 0.39452054794521 0.0050130714661047 0.3972602739726 0.0049585622657142 0.4 0.0037515377451377 0.4027397260274 0.0018600185077842 0.40547945205479 0.0015354005408738 0.40821917808219 0.001037510958978 0.41095890410959 0.00034840854462197 0.41369863013699 0 0.41643835616438 6.4728031016977E-5 0.41917808219178 0.00022058299174255 0.42191780821918 0.00066230969216497 0.42465753424658 0.00043720553517076 0.42739726027397 0.00048148219998462 0.43013698630137 0.00068650686395796 0.43287671232877 0.00096006643529095 0.43561643835616 0.0018637097977647 0.43835616438356 0.0019720395083949 0.44109589041096 0.0020772774453345 0.44383561643836 0.0027651318548441 0.44657534246575 0.0036324338070362 0.44931506849315 0.0038371368937524 0.45205479452055 0.0040348063691157 0.45479452054795 0.0046590977862578 0.45753424657534 0.0054589597670142 0.46027397260274 0.0052243894280451 0.46301369863014 0.0053894578340555 0.46575342465753 0.0043689228092616 0.46849315068493 0.0038647063388724 0.47123287671233 0.002113483759431 0.47397260273973 0.0024830819870132 0.47671232876712 0.0013702442680761 0.47945205479452 0.00026443077126181 0.48219178082192 0.00039764637735336 0.48493150684932 0.00053456215398402 0.48767123287671 0 0.49041095890411 6.4728031016977E-5 0.49315068493151 8.4085412692908E-5 0.4958904109589 0.00028452177366369 0.4986301369863 0.00035656168096913