Please use this identifier to cite or link to this item: http://hdl.handle.net/2445/175185
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dc.contributor.authorRomo, Eudald-
dc.contributor.authorOrtiz Gracia, Luis-
dc.date.accessioned2021-03-16T11:46:54Z-
dc.date.available2021-03-16T11:46:54Z-
dc.date.issued2021-03-
dc.identifier.issn2227-7390-
dc.identifier.urihttp://hdl.handle.net/2445/175185-
dc.description.abstractIn 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-
dc.format.extent20 p.-
dc.format.mimetypeapplication/pdf-
dc.language.isoeng-
dc.publisherMDPI-
dc.relation.isformatofReproducció del document publicat a: https://doi.org/10.3390/math9050529-
dc.relation.ispartofMathematics, 2021, vol. 9, num. 529, p. 1-20-
dc.relation.urihttps://doi.org/10.3390/math9050529-
dc.rightscc-by (c) Romo, Eudald et al., 2021-
dc.rights.urihttp://creativecommons.org/licenses/by/3.0/es-
dc.sourceArticles publicats en revistes (Econometria, Estadística i Economia Aplicada)-
dc.subject.classificationAnàlisi financera-
dc.subject.classificationMatemàtica financera-
dc.subject.classificationOndetes (Matemàtica)-
dc.subject.classificationCalibratge-
dc.subject.classificationIncertesa (Teoria de la informació)-
dc.subject.otherInvestment analysis-
dc.subject.otherBusiness mathematics-
dc.subject.otherWavelets (Mathematics)-
dc.subject.otherCalibration-
dc.subject.otherUncertainty (Information theory)-
dc.titleSWIFT Calibration of the Heston model-
dc.typeinfo:eu-repo/semantics/article-
dc.typeinfo:eu-repo/semantics/publishedVersion-
dc.identifier.idgrec708808-
dc.date.updated2021-03-16T11:46:54Z-
dc.rights.accessRightsinfo:eu-repo/semantics/openAccess-
Appears in Collections:Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)

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