In this paper we present a formulation of the calibration problem for the Heston stochastic volatility model and for its generalizations based on filtering and maximum likelihood methods. Numerical algorithms are developed to solve the problem posed. Synthetic and real data are used to validate the formulation of the calibration problem and its numerical solution.

Filtering and maximum likelihood methods in the calibration of some stochastic volatility models of mathematical finance

MARIANI, FRANCESCA;
2009

Abstract

In this paper we present a formulation of the calibration problem for the Heston stochastic volatility model and for its generalizations based on filtering and maximum likelihood methods. Numerical algorithms are developed to solve the problem posed. Synthetic and real data are used to validate the formulation of the calibration problem and its numerical solution.
9789628286874
Heston stochastic volatility model; multiscale stochastic volatility models; filtering theory; calibration problem; option pricing
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11562/388339
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