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

Internet

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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