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Calibrating Option Pricing Models with Heuristics

Calibrating option pricing models to market prices often leads to optimisation problems to which standard methods (like such based on gradients) cannot be applied. We investigate two models: Heston’s stochastic volatility model, and Bates’s model which also includes jumps. We discuss how to price options under these models, and how to calibrate the parameters of the models with heuristic techniques.
Year of publication:
2010-03-08
Authors: Gilli, Manfred ; Schumann, Enrico
Institutions: COMISEF
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Language: English
Notes:
Number 030 39 pages
Source:
Persistent link: https://www.econbiz.de/10008592380
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