Please use this identifier to cite or link to this item:
Title: SWIFT Calibration of the Heston model
Author: Romo, Eudald
Ortiz Gracia, Luis
Keywords: Anàlisi financera
Matemàtica financera
Ondetes (Matemàtica)
Incertesa (Teoria de la informació)
Investment analysis
Business mathematics
Wavelets (Mathematics)
Uncertainty (Information theory)
Issue Date: Mar-2021
Publisher: MDPI
Abstract: In the present work, the SWIFT method for pricing European options is extended to Heston model calibration. The computation of the option price gradient is simplified thanks to the knowledge of the characteristic function in closed form. The proposed calibration machinery appears to be extremely fast, in particular for a single expiry and multiple strikes, outperforming the state-of-the-art method we compare it with. Further, the a priori knowledge of SWIFT parameters makes a reliable and practical implementation of the presented calibration method possible. A wide range of stress, speed and convergence numerical experiments is carried out, with deep in-the-money, at-the-money and deep out-of-the-money options for very short and very long maturities
Note: Reproducció del document publicat a:
It is part of: Mathematics, 2021, vol. 9, num. 529, p. 1-20
Related resource:
ISSN: 2227-7390
Appears in Collections:Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)

Files in This Item:
File Description SizeFormat 
708808.pdf356.4 kBAdobe PDFView/Open

This item is licensed under a Creative Commons License Creative Commons