Extension of the SWIFT option pricing scheme for european options calibration under Heston stochastic volatility model

A Heston model calibration technique is presented for European options under the Heston model. The novel Shannon Wavelets Inverse Fourier Technique (SWIFT) is extended for European option price calibration (previously it was used only for pricing European, Asian, barrier, and Bermudan options). This...

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Detalhes bibliográficos
Autor: Romo Grau, Eudald
Formato: tesis de maestría
Fecha de publicación:2020
País:España
Recursos:Universitat Politècnica de Catalunya (UPC)
Repositorio:UPCommons. Portal del coneixement obert de la UPC
Idioma:inglés
OAI Identifier:oai:upcommons.upc.edu:2117/328148
Acesso em linha:https://hdl.handle.net/2117/328148
Access Level:acceso abierto
Palavra-chave:Mathematical economics
Options Trading
Heston
SWIFT
Calibration
Inverse Fourier Option Valuation
Matemàtica financera
Classificació AMS::91 Game theory, economics, social and behavioral sciences::91B Mathematical economics
Àrees temàtiques de la UPC::Matemàtiques i estadística::Matemàtica financera
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repository_id_str
spelling Extension of the SWIFT option pricing scheme for european options calibration under Heston stochastic volatility modelRomo Grau, EudaldMathematical economicsOptions TradingHestonSWIFTCalibrationInverse Fourier Option ValuationMatemàtica financeraClassificació AMS::91 Game theory, economics, social and behavioral sciences::91B Mathematical economicsÀrees temàtiques de la UPC::Matemàtiques i estadística::Matemàtica financeraA Heston model calibration technique is presented for European options under the Heston model. The novel Shannon Wavelets Inverse Fourier Technique (SWIFT) is extended for European option price calibration (previously it was used only for pricing European, Asian, barrier, and Bermudan options). This method has different expressions and speed-up techniques, adequate to different set-ups. These are discussed and new expressions and properties are presented for the gradient computation and option calibration. The Heston characteristic function expression recently proposed by \cite{cui17} is used in the SWIFT implementation due to its analytic gradient and its continuity properties. The time performance, robustness, and convergence under set-ups representative of real markets is studied for different implementations of the SWIFT technique and compared with the option calibration scheme presented by \cite{cui17} The SWIFT implementations are coded in C++ and uploaded to a public GitHub repository. The libray implements several of the different SWIFT expressions for GBM and Heston European options.Universitat Politècnica de CatalunyaOrtiz-Gracia, Luis20202020-07-0120202020-07-31master thesishttp://purl.org/coar/resource_type/c_bdccNAhttp://purl.org/coar/version/c_be7fb7dd8ff6fe43info:eu-repo/semantics/masterThesisapplication/pdfhttps://hdl.handle.net/2117/328148reponame:UPCommons. Portal del coneixement obert de la UPCinstname:Universitat Politècnica de Catalunya (UPC)Inglésengopen accesshttp://purl.org/coar/access_right/c_abf2http://creativecommons.org/licenses/by-nc-sa/3.0/es/info:eu-repo/semantics/openAccessoai:upcommons.upc.edu:2117/3281482026-05-27T15:37:01Z
dc.title.none.fl_str_mv Extension of the SWIFT option pricing scheme for european options calibration under Heston stochastic volatility model
title Extension of the SWIFT option pricing scheme for european options calibration under Heston stochastic volatility model
spellingShingle Extension of the SWIFT option pricing scheme for european options calibration under Heston stochastic volatility model
Romo Grau, Eudald
Mathematical economics
Options Trading
Heston
SWIFT
Calibration
Inverse Fourier Option Valuation
Matemàtica financera
Classificació AMS::91 Game theory, economics, social and behavioral sciences::91B Mathematical economics
Àrees temàtiques de la UPC::Matemàtiques i estadística::Matemàtica financera
title_short Extension of the SWIFT option pricing scheme for european options calibration under Heston stochastic volatility model
title_full Extension of the SWIFT option pricing scheme for european options calibration under Heston stochastic volatility model
title_fullStr Extension of the SWIFT option pricing scheme for european options calibration under Heston stochastic volatility model
title_full_unstemmed Extension of the SWIFT option pricing scheme for european options calibration under Heston stochastic volatility model
title_sort Extension of the SWIFT option pricing scheme for european options calibration under Heston stochastic volatility model
dc.creator.none.fl_str_mv Romo Grau, Eudald
author Romo Grau, Eudald
author_facet Romo Grau, Eudald
author_role author
dc.contributor.none.fl_str_mv Ortiz-Gracia, Luis
dc.subject.none.fl_str_mv Mathematical economics
Options Trading
Heston
SWIFT
Calibration
Inverse Fourier Option Valuation
Matemàtica financera
Classificació AMS::91 Game theory, economics, social and behavioral sciences::91B Mathematical economics
Àrees temàtiques de la UPC::Matemàtiques i estadística::Matemàtica financera
topic Mathematical economics
Options Trading
Heston
SWIFT
Calibration
Inverse Fourier Option Valuation
Matemàtica financera
Classificació AMS::91 Game theory, economics, social and behavioral sciences::91B Mathematical economics
Àrees temàtiques de la UPC::Matemàtiques i estadística::Matemàtica financera
description A Heston model calibration technique is presented for European options under the Heston model. The novel Shannon Wavelets Inverse Fourier Technique (SWIFT) is extended for European option price calibration (previously it was used only for pricing European, Asian, barrier, and Bermudan options). This method has different expressions and speed-up techniques, adequate to different set-ups. These are discussed and new expressions and properties are presented for the gradient computation and option calibration. The Heston characteristic function expression recently proposed by \cite{cui17} is used in the SWIFT implementation due to its analytic gradient and its continuity properties. The time performance, robustness, and convergence under set-ups representative of real markets is studied for different implementations of the SWIFT technique and compared with the option calibration scheme presented by \cite{cui17} The SWIFT implementations are coded in C++ and uploaded to a public GitHub repository. The libray implements several of the different SWIFT expressions for GBM and Heston European options.
publishDate 2020
dc.date.none.fl_str_mv 2020
2020-07-01
2020
2020-07-31
dc.type.none.fl_str_mv master thesis
http://purl.org/coar/resource_type/c_bdcc
NA
http://purl.org/coar/version/c_be7fb7dd8ff6fe43
dc.type.openaire.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
dc.identifier.none.fl_str_mv https://hdl.handle.net/2117/328148
url https://hdl.handle.net/2117/328148
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2

http://creativecommons.org/licenses/by-nc-sa/3.0/es/
dc.rights.openaire.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2

http://creativecommons.org/licenses/by-nc-sa/3.0/es/
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universitat Politècnica de Catalunya
publisher.none.fl_str_mv Universitat Politècnica de Catalunya
dc.source.none.fl_str_mv reponame:UPCommons. Portal del coneixement obert de la UPC
instname:Universitat Politècnica de Catalunya (UPC)
instname_str Universitat Politècnica de Catalunya (UPC)
reponame_str UPCommons. Portal del coneixement obert de la UPC
collection UPCommons. Portal del coneixement obert de la UPC
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15,300724

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