Fourier Integration and Stochastic Volatility Calibration
23 Pages
Posted: 4 Dec 2013
Last revised: 27 Feb 2014
Calypso Technology; Independent
Date Written: February 27, 2014
Abstract
We look at recent algorithms to compute Vanilla option prices under the stochastic volatility models with a known characteristic function, focusing on Heston, Bates, Double-Heston, Schobel-Zhu and study how they behave in the calibration of a real-world implied volatility surface example. We consider local minimization based on Levenberg-Marquardt and a smart initial guess, as well global minimization based on differential evolution.
Keywords: Heston, Bates, Schobel-Zhu, Double Heston, COS method
Suggested Citation:
Suggested Citation
Le Floc'h, Fabien, Fourier Integration and Stochastic Volatility Calibration (February 27, 2014). Available at SSRN: https://ssrn.com/abstract=2362968 or http://dx.doi.org/10.2139/ssrn.2362968
