), namely the SPY, IWM and QQQ as well as on the TLT (an ETF that tracks an index of long-term US Treasury bonds). As of the …

We propose a parsimonious multi-asset Heston model and provide an easy-to-implement calibration algorithm. The model is … affine allowing for efficient calibration of the respective parameters. The single-asset models are correlated using cross …, and serve as basis for calibration. A hybrid calibration approach for identifying the model parameters consistent with …

inaccurate pricing and calibration. As applications, we consider the Heston model and its generalization. For many parameter sets …