SWIFT Calibration of the Heston model
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 fas...
| Autores: | , |
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| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2021 |
| País: | España |
| Institución: | Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya) |
| Repositorio: | Recercat. Dipósit de la Recerca de Catalunya |
| OAI Identifier: | oai:recercat.cat:2445/175185 |
| Acceso en línea: | https://hdl.handle.net/2445/175185 |
| Access Level: | acceso abierto |
| Palabra clave: | Anàlisi financera Matemàtica financera Ondetes (Matemàtica) Calibratge Incertesa (Teoria de la informació) Investment analysis Business mathematics Wavelets (Mathematics) Calibration Uncertainty (Information theory) |
| Sumario: | 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 |
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