Approximation Behooves Calibration

André Manuel da Silva Ribeiro; Rolf Poulsen

doi:10.1080/21649502.2013.803781

Approximation Behooves Calibration

André Manuel da Silva Ribeiro, Rolf Poulsen

Institut for Matematiske Fag

Abstract

Calibration based on an expansion approximation for option prices in the Heston stochastic volatility model gives stable, accurate, and fast results for S&P500-index option data over the period 2005–2009.

Originalsprog	Engelsk
Tidsskrift	Quantitative Finance Letters
Vol/bind	1
Udgave nummer	1
Sider (fra-til)	36-40
ISSN	2164-9502
DOI	https://doi.org/10.1080/21649502.2013.803781
Status	Udgivet - 2013

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10.1080/21649502.2013.803781

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title = "Approximation Behooves Calibration",

abstract = "Calibration based on an expansion approximation for option prices in the Heston stochastic volatility model gives stable, accurate, and fast results for S&P500-index option data over the period 2005–2009.",

author = "{da Silva Ribeiro}, {Andr{\'e} Manuel} and Rolf Poulsen",

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T1 - Approximation Behooves Calibration

AU - da Silva Ribeiro, André Manuel

AU - Poulsen, Rolf

PY - 2013

Y1 - 2013

N2 - Calibration based on an expansion approximation for option prices in the Heston stochastic volatility model gives stable, accurate, and fast results for S&P500-index option data over the period 2005–2009.

AB - Calibration based on an expansion approximation for option prices in the Heston stochastic volatility model gives stable, accurate, and fast results for S&P500-index option data over the period 2005–2009.

U2 - 10.1080/21649502.2013.803781

DO - 10.1080/21649502.2013.803781

M3 - Journal article

SN - 2164-9502

VL - 1

SP - 36

EP - 40

JO - Quantitative Finance Letters

JF - Quantitative Finance Letters

IS - 1

ER -

Approximation Behooves Calibration

Abstract

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