Earticle

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

Abstract
 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

키워드

저자

• Seungho Yang [ Department of Industrial and Management Engineering Pohang University of Science and Technology (POSTECH) San 31 Hyoja Pohang 790-784 South Korea ]
• Hyejin Park [ Department of Industrial and Management Engineering Pohang University of Science and Technology (POSTECH) San 31 Hyoja Pohang 790-784 South Korea ]
• Jaewook Lee [ Department of Industrial and Management Engineering Pohang University of Science and Technology (POSTECH) San 31 Hyoja Pohang 790-784 South Korea ]

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• 간행물명

  한국재무학회 학술대회

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• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330