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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...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Elsevier
2016
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| 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 |