Test data sets for calibration of stochastic and fractional stochastic volatility models.

ABSTRACT: 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 obtained from combined optimizers is visually depicted - interactive 3d bar plots are provided. The data is suitable for a further comparison of other optimization routines and also to benchmark different pricing models.

SUBMITTER: Pospisil J 

PROVIDER: S-EPMC4936599 | biostudies-literature | 2016 Sep

REPOSITORIES: biostudies-literature