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.
| Original language | English |
|---|---|
| Journal | Quantitative Finance Letters |
| Volume | 1 |
| Issue number | 1 |
| Pages (from-to) | 36-40 |
| ISSN | 2164-9502 |
| DOIs | |
| Publication status | Published - 2013 |