{"title":"近似需要校准","authors":"André M. S. Ribeiro, R. Poulsen","doi":"10.1080/21649502.2013.803781","DOIUrl":null,"url":null,"abstract":"Calibration based on an expansion approximation for option prices in the Heston stochastic volatility model gives stable, accurate, and fast results for S&P500-index option data over the period 2005–2009.","PeriodicalId":438897,"journal":{"name":"Quantitative Finance Letters","volume":"2 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2013-06-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"7","resultStr":"{\"title\":\"Approximation behoves calibration\",\"authors\":\"André M. S. Ribeiro, R. Poulsen\",\"doi\":\"10.1080/21649502.2013.803781\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Calibration based on an expansion approximation for option prices in the Heston stochastic volatility model gives stable, accurate, and fast results for S&P500-index option data over the period 2005–2009.\",\"PeriodicalId\":438897,\"journal\":{\"name\":\"Quantitative Finance Letters\",\"volume\":\"2 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2013-06-26\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"7\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Quantitative Finance Letters\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1080/21649502.2013.803781\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Quantitative Finance Letters","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1080/21649502.2013.803781","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Calibration based on an expansion approximation for option prices in the Heston stochastic volatility model gives stable, accurate, and fast results for S&P500-index option data over the period 2005–2009.
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