On Calibrating Stochastic Volatility Models with time-dependent Parameters
Pricing of Securities
2010-10-07 v1
Abstract
We consider stochastic volatility models using piecewise constant parameters. We suggest a hybrid optimization algorithm for fitting the models to a volatility surface and provide some numerical results. Finally, we provide an outlook on how to further improve the calibration procedure.
Cite
@article{arxiv.1010.1212,
title = {On Calibrating Stochastic Volatility Models with time-dependent Parameters},
author = {Wolfgang Putschoegl},
journal= {arXiv preprint arXiv:1010.1212},
year = {2010}
}