Comparative study between local and global optimization for Heston model
The objective of this study is to estimate the calibration parameters of the Heston stochastic volatility model by the two optimization methods: local and global, then to compare their performances and finally to recommend one of the two methods. To predict the prices of EUR/USD currency options, we...
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| Format: | Article |
| Language: | English |
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Accademia Piceno Aprutina dei Velati
2022-06-01
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| Series: | Ratio Mathematica |
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| Online Access: | http://eiris.it/ojs/index.php/ratiomathematica/article/view/773 |