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POST
/
quantlib
/
models
/
heston
/
price
Heston Model Option Pricing (Analytical)
curl --request POST \
  --url https://api.fincept.in/quantlib/models/heston/price \
  --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": 105,
  "T": 0.5,
  "option_type": "call"
}
'
{
  "success": true,
  "data": {
    "price": 4.87,
    "option_type": "call",
    "feller_condition": true
  }
}

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:
{
  "price": 4.87,
  "option_type": "call",
  "feller_condition": true
}