<t>Thank you very much g000RRRr.Actually,we haven’t tried to calibrate Heston model to a single expiration yet but what we did is exactly what you suggest.We used 6 options(3 ITM,1 ATM,3 OTM) for each 1 month,2 m ,3 m ,6 m,9m ,and 1 year expirations in total 42 options data on 16 January 2008.When w...

<t>Dear all,We have also been working on a stochastic volatility project. We want to calibrate Heston model for fx options.We wanted to use ASA for calibration.Sergei Mikhailov, Ulrich Nögel state in their paper 'Heston’s Stochastic Volatility,Model Implementation,Calibration and Some Extensions' th...

<t>Dear all,We have also been working on a stochastic volatility project. We want to calibrate Heston model for fx options.We wanted to use ASA for calibration.Sergei Mikhailov, Ulrich Nögel state in their paper 'Heston’s Stochastic Volatility,Model Implementation,Calibration and Some Extensions' th...

<t>Dear all,We have also been working on a stochastic volatility project. We want to calibrate Heston model for fx options.We wanted to use ASA for calibration.Sergei Mikhailov, Ulrich Nögel state in their paper 'Heston’s Stochastic Volatility,Model Implementation,Calibration and Some Extensions' th...

<t>Dear all,We have also been working on a stochastic volatility project. We want to calibrate Heston model for fx options.We wanted to use ASA for calibration.Sergei Mikhailov, Ulrich Nögel state in their paper 'Heston’s Stochastic Volatility,Model Implementation,Calibration and Some Extensions' th...

<t>Hello We also wanted to follow Nimalin Moodley paper "The Heston Model: A practical Approach with Matlab Code" to do calibration but we have been getting the following error when we try to run attached code and data which are provided in the appendix of paper.Could you kindly pls show us how to s...