I finally found for C and D, but still don't understand clearly the part with the carateristic function..

<t>hi people,I'm trying to do heston's calculus for the vanilla closed form solutions step by step. in his appendix, he's applying Ito to f(x,v,t) using the processes in equation (14) (and not 15 like he mentionned). I know that what I'm going to say doesn't change the proof, but just to be sure: th...

<t>Calibrating with respect to implied volas give me now more stable results: my optimizer gives me stable results for a given cost function. And now, I'm concentrating on correcting my costfunction to get a better fit. I've tried weights with vegas/total vegas: the fit is usually better or equivale...

<t>thanks to both of you for your tips. I've changed my closed form solution, I'm using the more stable one, given in the "Little Heston Trap". About my integration, i'm using a preimplemented quadrature rule: gauss kronrod with 87 points on the interval [1e-7, 100], given in the Centerspace analysi...

<t>Hi people,I am currently trying to calibrate the heston model on the eurostoxx basing on Wilmott's Magazine Article: A perfect calibration! Now what?, using the ASA of Ingber.My heston is using the closed form solution with numerical integration. But I don't get enough good fits (some are less th...

<r>I've seen that you haven't received any answer yet. Maybe that if we're two.. somebody would answer us.. <E>;-)</E> I'm trying to calibrate the heston model too, on Eurostoxx 50 vanilla options. my pricer should be ok but I don't really know which method to use for the calibration: I've tried the...