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POST
Heston Model Option Pricing (Analytical)

Authorizations

X-API-Key
string
header
required

API key for authentication. Get your key at https://api.fincept.in/auth/register

Body

application/json
S0
number
required

Current stock/asset price (e.g., 100 for $100 stock)

v0
number
required

Initial variance (volatility squared). For 20% vol, use 0.04 (0.20^2)

r
number
required

Risk-free rate (annualized, e.g., 0.05 for 5%)

kappa
number
required

Mean reversion speed of variance. Higher = faster reversion. Typical: 1-5

theta
number
required

Long-term variance level. This is the variance towards which v reverts

sigma_v
number
required

Volatility of variance (vol-of-vol). Controls variance randomness. Typical: 0.1-0.5

rho
number
required

Correlation between stock and variance processes. Negative = leverage effect. Range: -1 to 1

strike
number
required

Option strike price

T
number
required

Time to maturity in years (e.g., 0.25 for 3 months)

option_type
enum<string>
default:call

Option type: call or put

Available options:
call,
put

Response

Successfully priced Heston option

success
boolean
Example:

true

data
object
Example: