Browsing School of Mathematical Sciences by Subject "Heston model"
Now showing items 1-2 of 2
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Calibration to American options: numerical investigation of the de-Americanization method.
(2018)American options are the reference instruments for the model calibration of a large and important class of single stocks. For this task, a fast and accurate pricing algorithm is indispensable. The literature mainly discusses ... -
Full and fast calibration of the Heston stochastic volatility model
This paper presents an algorithm for a complete and e cient calibration of the Heston stochastic volatility model. We express the calibration as a nonlinear least-squares problem. We exploit a suitable representation of ...