Title: Calibrating Option Pricing Models with Heuristics
Abstract: Calibrating option pricing models to market prices often leads to optimisation problems to which standard methods (such as those based on gradients) cannot be applied.We investigate two models: Heston’s stochastic volatility model, and Bates’s model which also includes jumps. We discuss how to price options under these models, and how to calibrate the parameters of the models with heuristic techniques.
Publication Year: 2011
Publication Date: 2011-01-01
Language: en
Type: book-chapter
Indexed In: ['crossref']
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Cited By Count: 20
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