On Optimization Techniques for Calibration of Stochastic Volatility Models

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F49777513%3A23520%2F14%3A43923420" target="_blank" >RIV/49777513:23520/14:43923420 - isvavai.cz</a>
Result on the web
—
DOI - Digital Object Identifier
—

Result language
angličtina
Original language name
On Optimization Techniques for Calibration of Stochastic Volatility Models
Original language description
The aim of this paper is to study stochastic volatility (SV) models and their calibration to real market data. This task is formulated as the optimization problem and several optimization techniques are compared and used in order to minimize the difference between the observed market prices and the model prices. At first we demonstrate the complexity of the calibration process on the popular Heston model and we show how well the model can fit a particular set of market prices. This is ensured by using adeterministic grid which eliminates the initial guess sensitivity specific to this problem. The same level of errors can be reached by employing optimization techniques introduced in the paper, while also preserving time efficiency. We further apply thesame calibration procedures to the recent fractional stochastic volatility model, which is a jump-diffusion model of market dynamics with approximative fractional volatility. The novelty of this paper is especially in showing how the pro
Czech name
—
Czech description
—

Project
<a href="/en/project/GA14-11559S" target="_blank" >GA14-11559S: Analysis of Fractional Stochastic Volatility Models and their Grid Implementation</a><br>
Continuities
S - Specificky vyzkum na vysokych skolach

Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Applied Numerical Mathematics and Scientific Computation
ISBN
978-1-61804-253-8
ISSN
—
e-ISSN
—
Number of pages
7
Pages from-to
34-40
Publisher name
Europment
Place of publication
Athens
Event location
Athens, Greece
Event date
Nov 28, 2014
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
—

Similar results(10)