On Calibrating Stochastic Volatility Models with time-dependent Parameters

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.

References in corpus (1)

• Models with time-dependent parameters using transform methods: application to Heston's model

Cited by in corpus (1)

• The Heston stochastic volatility model with piecewise constant parameters - efficient calibration and pricing of window barrier options