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Heston model calibration idea
Imagine I am trying to calibrate my Heston model by fitting to the moments of the implied distribution. Should that work? Are there any objections to this method? Any natural pitfalls?What constraints should I impose on extrapolation method?Any advice is welcome.Many thanks in advanceAlexei
Heston model calibration idea
I would say... It may work. But a same shape of the distribution can implied different set of Heston parameters.
Heston model calibration idea
Suppose my Heston calibration parameter differ through time (say each day). Should I estimate the parameters for all the sample? How reliable are they then? I asssume they should be at least stationary.Demian