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POST
/
quantlib
/
models
/
heston
/
monte-carlo
Heston Monte Carlo Option Pricing
curl --request POST \
  --url https://finceptbackend.share.zrok.io/quantlib/models/heston/monte-carlo \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "S0": 100,
  "v0": 0.04,
  "r": 0.05,
  "kappa": 2,
  "theta": 0.04,
  "sigma_v": 0.3,
  "rho": -0.7,
  "strike": 100,
  "T": 0.5,
  "option_type": "call",
  "n_paths": 50000,
  "n_steps": 126,
  "seed": 123
}
'
{
  "success": true,
  "data": {
    "price": 5.23,
    "std_error": 0.04,
    "confidence_interval": [
      5.15,
      5.31
    ],
    "n_paths": 50000
  }
}

Authorizations

​
X-API-Key
string
header
required

API key for authentication. Get your key at https://finceptbackend.share.zrok.io/auth/register

Body

application/json
​
S0
number
required

Current asset price

​
v0
number
required

Initial variance

​
r
number
required

Risk-free rate (annualized)

​
kappa
number
required

Variance mean reversion speed

​
theta
number
required

Long-term variance

​
sigma_v
number
required

Volatility of variance

​
rho
number
required

Stock-variance correlation

​
strike
number
required

Option strike price

​
T
number
required

Time to maturity in years

​
option_type
enum<string>
default:call

Option type

Available options:
call,
put
​
n_paths
integer
default:10000

Number of Monte Carlo paths. More paths = higher accuracy. Recommended: 10000+

​
n_steps
integer
default:252

Time steps per path (e.g., 252 for daily steps in 1 year)

​
seed
integer | null

Random seed for reproducibility

Response

Successfully simulated Heston option price

​
success
boolean
Example:

true

​
data
object
Example:
{
  "price": 5.23,
  "std_error": 0.04,
  "confidence_interval": [5.15, 5.31],
  "n_paths": 50000
}