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- W3172645709 abstract "In the present work, the European option pricing SWIFT method is extended for Heston model calibration. The computation of the option price gradient is simplified thanks to the knowledge of the characteristic function in closed form. The proposed calibration machinery appears to be extremely fast, in particular for a single expiry and multiples strikes, outperforming the state-of-the-art method we compare with. Further, the a priori knowledge of SWIFT parameters makes possible a reliable and practical implementation of the presented calibration method. A wide set of stress, speed and convergence numerical experiments is carried out, with deep in-the-money, at-the-money and deep out-of-the-money options for very short and very long maturities." @default.
- W3172645709 created "2021-06-22" @default.
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- W3172645709 date "2021-01-01" @default.
- W3172645709 modified "2023-09-27" @default.
- W3172645709 title "SWIFT calibration of the Heston model" @default.
- W3172645709 hasPublicationYear "2021" @default.
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