À繫¿¬±¸ Á¦ ±Ç È£ (2010³â 5¿ù)
Asian Review of Financial Research, Vol., No..
pp.2066~2079
pp.2066~2079
Robust Calibration of the Stochastic Volatility Model
Seungho Yang Department of Industrial and Management Engineering Pohang University of Science and Technology (POSTECH) San 31 Hyoja Pohang 790-784 South Korea
Hyejin Park Department of Industrial and Management Engineering Pohang University of Science and Technology (POSTECH) San 31 Hyoja Pohang 790-784 South Korea
Jaewook Lee Department of Industrial and Management Engineering Pohang University of Science and Technology (POSTECH) San 31 Hyoja Pohang 790-784 South Korea
We investigate a parametric method for calibrating European option pricing using a Heston stochastic volatility model.We propose a numerical implementation scheme for calibrating a parameter set of the Heston stochastic volatility model through the particle swarm optimization method to conquer the ill-posed inverse problem of the non-linear least squares and show that it can resolve the instability of the inverse problems. To verify the performance of the proposed method, we conduct simulations on some model-generated option prices and compare the performance with the Levenberg Marquardt method which is one of the popular nonlinear optimization method. We also use S& P 500 index option prices to check performances. The simulation results show that the proposed method has a better performance.
Seungho Yang
Hyejin Park
Jaewook Lee
We investigate a parametric method for calibrating European option pricing using a Heston stochastic volatility model.We propose a numerical implementation scheme for calibrating a parameter set of the Heston stochastic volatility model through the particle swarm optimization method to conquer the ill-posed inverse problem of the non-linear least squares and show that it can resolve the instability of the inverse problems. To verify the performance of the proposed method, we conduct simulations on some model-generated option prices and compare the performance with the Levenberg Marquardt method which is one of the popular nonlinear optimization method. We also use S& P 500 index option prices to check performances. The simulation results show that the proposed method has a better performance.
Option markets,Stochastic volatility models,Model calibration and selection,Particle Swarm optimization.
[ 07327 ] 67-8, Yeouinaru-ro, Yeongdeungpo-gu, Seoul, Korea TEL. +82-2-2003-9921 FAX. +82-2-2003-9979 E-mail. office@korfin.org COPYRIGHT(C) SINCE 1987 KOREAN FINANCE ASSOCIATION. All rights reserved.