On Calibrating Stochastic Volatility Models with time-dependent Parameters
AbstractWe 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.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1010.1212.
Date of creation: Oct 2010
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Web page: http://arxiv.org/
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