On Calibrating Stochastic Volatility Models with time-dependent Parameters

Details On Calibrating Stochastic Volatility Models with time-dependent Parameters On Calibrating Stochastic Volatility Models with time-dependent Parameters

2010-10-06

arxiv.org/abs/1010.1212v1

Economy

Quantitative Finance

Pricing of Securities

Scientific paper

We consider stochastic volatility models using piecewise constant parameters.
We suggest a hybrid optimization algorithm for fitting the models to a
volatility surface and provide some numerical results. Finally, we provide an
outlook on how to further improve the calibration procedure.

Affiliated with

Also associated with

No associations

Rating

On Calibrating Stochastic Volatility Models with time-dependent Parameters does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with On Calibrating Stochastic Volatility Models with time-dependent Parameters, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and On Calibrating Stochastic Volatility Models with time-dependent Parameters will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-428360