论文信息 - Fitting the Smile, Smart Parameters for SABR and Heston

Fitting the Smile, Smart Parameters for SABR and Heston

In this paper we revisit the problem of calibrating stochastic volatility models. By finding smart initial parameters, we improve robustness of Levenberg-Marquardt. Applying this technique to the SABR and Heston models reduces calibration time by more than 90% compared to global optimization techniques such as Simplex or Differential Evolution.

Pierre Gauthier | Pierre-Yves Henri Rivaille

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