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calibrate Heston Model Skip Option Price
i know there's an analytical solution for heston model on option price, but now if I have the vol surface somehow, is there a way to skip calculating the c/p price to calibrate the surface?i guess there should be such a way, but is there a paper on this?
calibrate Heston Model Skip Option Price
Hello Quantcook,There is no closed-form / analytical representation for the implied volatility in Heston, so you have to go via the Call/put price first.