Practice Options
Calibrate the Heston model to a smile
Hard+50 pointsAbout 80 minutesOptions
Coming soon
Calibrate Heston parameters to a volatility smile and judge how well the fitted model prices options it was not fitted to.
This problem opens with Derivatives Modelling. It draws on the modules below.
- Derivatives 1.11 Local and stochastic volatility (coming soon)
- Computing 2.2 Optimisation and calibration (coming soon)