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

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...

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Detalles Bibliográficos
Autores principales: Pospíšil, Jan, Sobotka, Tomáš
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier 2016
Materias:
Data Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4936599/
https://www.ncbi.nlm.nih.gov/pubmed/27419200
http://dx.doi.org/10.1016/j.dib.2016.06.016
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author Pospíšil, Jan
Sobotka, Tomáš
author_facet Pospíšil, Jan
Sobotka, Tomáš
author_sort Pospíšil, Jan
collection PubMed
description 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.
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spelling pubmed-49365992016-07-14 Test data sets for calibration of stochastic and fractional stochastic volatility models Pospíšil, Jan Sobotka, Tomáš Data Brief Data Article 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. Elsevier 2016-06-21 /pmc/articles/PMC4936599/ /pubmed/27419200 http://dx.doi.org/10.1016/j.dib.2016.06.016 Text en © 2016 The Authors http://creativecommons.org/licenses/by/4.0/ This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/).
spellingShingle Data Article
Pospíšil, Jan
Sobotka, Tomáš
Test data sets for calibration of stochastic and fractional stochastic volatility models
title Test data sets for calibration of stochastic and fractional stochastic volatility models
title_full Test data sets for calibration of stochastic and fractional stochastic volatility models
title_fullStr Test data sets for calibration of stochastic and fractional stochastic volatility models
title_full_unstemmed Test data sets for calibration of stochastic and fractional stochastic volatility models
title_short Test data sets for calibration of stochastic and fractional stochastic volatility models
title_sort test data sets for calibration of stochastic and fractional stochastic volatility models
topic Data Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4936599/
https://www.ncbi.nlm.nih.gov/pubmed/27419200
http://dx.doi.org/10.1016/j.dib.2016.06.016
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