On Calibrating Stochastic Volatility Models with time-dependent Parameters

Wolfgang Putschoegl

Papers from arXiv.org

Abstract: We consider stochastic volatility models using piecewise constant parameters. We suggest a hybrid optimization algorithm for fitting the models to a volatility surface and provide some numerical results. Finally, we provide an outlook on how to further improve the calibration procedure.

Date: 2010-10
New Economics Papers: this item is included in nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1010.1212

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