for options on realized variance. We consider the popular Heston model, reparametrize its variance swap price formula and … we get termstructure forecasts that we compare in addition to the random walk and the static Heston model that is often … of variance swap curves than the random walk but forecasting the Heston model improves the popular static Heston model …

this end, we calibrate the Heston model to a time series of DAX implied volatility surfaces and then price cliquet options. …

relation to cali- bration risk. Key Words: calibration risk, calibration, model risk, Heston model, Bates model, barrier option … on calibration risk we consider in addition the Bates model which is an extension of the Heston model with similar … Heston model and the Bates model for which we are going to analyze calibration risk. Moreover, we provide some descriptive …

for options on realized variance. We consider the popular Heston model, reparametrize its variance swap price formula and … we get termstructure forecasts that we compare in addition to the random walk and the static Heston model that is often … of variance swap curves than the random walk but forecasting the Heston model improves the popular static Heston model …

this end, we calibrate the Heston model to a time series of DAX implied volatility surfaces and then price cliquet options. … method. To this end, we calibrate the Heston model to a time series of DAX implied volatility surfaces and then price cli …- quet options. Key words: calibration, data design, implied volatility surface, Heston model, cliquet option JEL codes: C80 …

the Heston model. Numerical examples show practical effectiveness of the proposed method. Copyright Springer Japan 2013 …