Test data sets for calibration of stochastic and fractional stochastic volatility models
Data for calibration and out-of-sample error testing of option pricing models are provided alongside data obtained from optimization procedures in "On calibration of stochastic and fractional stochastic volatility models" [1]. Firstly we describe testing data sets, further calibration data...
| Main Authors: | , |
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| Format: | Online |
| Language: | English |
| Published: |
Elsevier
2016
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| Online Access: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4936599/ |