원문정보
초록
영어
We investigate a parametric method for calibrating European option pricing using a Heston stochastic volatility model.We propose a numerical implementation scheme for calibrating a parameter set of the Heston stochastic volatility model through the particle swarm optimization method to conquer the ill-posed inverse problem of the non-linear least squares and show that it can resolve the instability of the inverse problems. To verify the performance of the proposed method, we conduct simulations on some model-generated option prices and compare the performance with the Levenberg Marquardt method which is one of the popular nonlinear optimization method. We also use S& P 500 index option prices to check performances. The simulation results show that the proposed method has a better performance.
목차
1 Introduction
2 Preliminaries
2.1 Heston stochastic volatility model
2.2 Carr-Madan’s Fourier transform methods
3 Proposed Method
4 Empirical Results
5 Conclusions
References