Test data sets for calibration of stochastic and fractional stochastic volatility models

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F49777513%3A23520%2F16%3A43929048" target="_blank" >RIV/49777513:23520/16:43929048 - isvavai.cz</a>
Result on the web
<a href="http://www.sciencedirect.com/science/article/pii/S2352340916303845" target="_blank" >http://www.sciencedirect.com/science/article/pii/S2352340916303845</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.dib.2016.06.016" target="_blank" >10.1016/j.dib.2016.06.016</a>

Result language
angličtina
Original language name
Test data sets for calibration of stochastic and fractional stochastic volatility models
Original language description
Data for calibration and out-of-sample error testing of option pricing models are provided alongside data obtained from optimization procedures in "On calibration of stochastic and fractional stochastic volatility models" [1]. Firstly we describe testing data sets, further calibration data obtained from combined optimizers is visually depicted - interactive 3d bar plots are provided. The data is suitable for a further comparison of other optimization routines and also to benchmark different pricing models.
Czech name
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Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Project
<a href="/en/project/GA14-11559S" target="_blank" >GA14-11559S: Analysis of Fractional Stochastic Volatility Models and their Grid Implementation</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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