Report on the Paper titled “Calibrating Option Pricing Models with Heuristics”

DOI

10.2991/aebmr.k.220307.191How to use a DOI?

Keywords

calibrating option pricing; optimization; Bates’s model; Heston’s model; heuristic

Abstract

This paper was based on the fact that calibrating option pricing models to market prices usually result in optimization issues to which standard strategies (as some based on gradients) cannot be used. It investigated two different models: Bates’s model, and Heston’s stochastic volatility model, and they both include jumps. It discusses how to price options in these models, as well as how to calibrate the parameters of the models with heuristic techniques.

Copyright

© 2022 The Authors. Published by Atlantis Press International B.V.

Open Access

This is an open access article under the CC BY-NC license.

Download article (PDF)

TY  - CONF
AU  - Mutian Liu
PY  - 2022
DA  - 2022/03/26
TI  - Report on the Paper titled “Calibrating Option Pricing Models with Heuristics”
BT  - Proceedings of the 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022)
PB  - Atlantis Press
SP  - 1152
EP  - 1159
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.220307.191
DO  - 10.2991/aebmr.k.220307.191
ID  - Liu2022
ER  -