<t>i have the heston parameters (using ga algorithm) and i want to test them for their stability. i am thinking to test whether the skewness and the kurtosis that these parameters imply are stable or not. does anybody know any equation/paper that relates the (theta, rho, vol of vol and kappa) heston...

<t>HiI am trying to calibrate Heston parameters to equity options using a genetic algorithm. in order to be applicable, the code has bounds for the prices of the parameters. after doing some experiments, i realized that there is a kind of tradeoff between the weight of the parameters. specifically, ...

it is difficult for me because i am in england

plzzz i want to find data for the currency options at phlx (i am a master student and i cannot afford bloomberg or reuters). any ideas?rgrds

<t>My main area of potential study is fx options. 1) I am thinking of applying Heston model. Any ideas how i can calibrate the parameters to the observed data? What kind of data do i need?2) Any suggestions about alternative models (preferably based on the framework of SV) or articles (i want an emp...

<t>does anyone can provide me matlab code with hedging matlab code (or vba second best). portfolio consists of call/put hedged by stock. if possible on the heston framework (call and hedge ratio or just the first). i promise that i will send him my dissertation and his name will be first (after mine...

<t>QuoteOriginally posted by: Baltazara badly fitted very complex model is worst than a simple well calibrate model because it learns the noise and not the information.B.just one comment: the above sentence is one of the most well structured and intuitive sentences i have ever read in a forum.and no...

<t>Which are the advantages and the disadvantages of a nonparametric approach of options pricing like Jackwerth (1996,2000) and Ait- Sahalia and Louse (2000)? I know that most of the answers will focus on the flexibility of the nonparametric models but if there is a clear superiority of those models...

<t>First of all thank you for your answers. I agree with Aaron that it is quite difficult to measure the price of risk but the article of Bakshi and Kapadia focus on the sign rather than the magnitude of the volatility risk premium. The problem is that i am not very convienced about their methodolog...

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<t>Do you think that the negative sign of volatility risk premium that many articles suggest like Bakshi and Kapadia (2003) is reasonable? Any other articles that i should read? I have found an article of Liu and Pan (2003) that assumes negative volatility risk premium in order to solve the problem ...