On calibration of stochastic and fractional stochastic volatility models

DOI10.1016/j.ejor.2016.04.033zbMath1346.91238MaRDI QIDQ323465

Milan Mrázek, Jan Pospíšil, Tomáš Sobotka

Publication date: 7 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2016.04.033

zbMATH Keywords

optimization; option pricing; calibration; Heston model; fractional stochastic volatility model

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91B70: Stochastic models in economics

60H30: Applications of stochastic analysis (to PDEs, etc.)

91G80: Financial applications of other theories

91G20: Derivative securities (option pricing, hedging, etc.)

35R60: PDEs with randomness, stochastic partial differential equations

35R11: Fractional partial differential equations

Uses Software

• Mathematica