Calibration and simulation of Heston model
We calibrate Heston stochastic volatility model to real market data using several optimization techniques. We compare both global and local optimizers for different weights showing remarkable differences even for data (DAX options) from two consecutive days. We provide a novel calibration procedure...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
De Gruyter
2017-05-01
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| Series: | Open Mathematics |
| Subjects: | |
| Online Access: | https://doi.org/10.1515/math-2017-0058 |