2 papers
math.NA2025
A Space Mapping approach for the calibration of financial models with the application to the Heston model
Anna Clevenhaus, Claudia Totzeck, Matthias Ehrhardt
We present a novel approach for parameter calibration of the Heston model for pricing an Asian put option, namely space mapping. Since few parameters of the Heston model can be dir…
math.OC2021
A gradient based calibration method for the Heston model
Anna Clevenhaus, Claudia Totzeck, Matthias Ehrhardt
The Heston model is a well-known two-dimensional financial model. Because the Heston model contains implicit parameters that cannot be determined directly from real market data, ca…