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

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

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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Citationsformater

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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

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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.

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U2 - 10.1080/21649502.2013.803781

DO - 10.1080/21649502.2013.803781

M3 - Journal article

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SP - 36

EP - 40

JO - Quantitative Finance Letters

JF - Quantitative Finance Letters

IS - 1

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