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reasonable constraints of heston parameters?
Posted: August 21st, 2004, 9:28 am
by enginkuru
In calibarting the SV model of Heston, can we talk about reasonable constraints of the parameters, for ex: for equity or stock index options?If yes, what are they? Should unreasonable parameters be rejected although they incease the fit?thanks in advance....
reasonable constraints of heston parameters?
Posted: August 23rd, 2004, 9:41 pm
by granchio
yes of course.if you are lloking for numbers: volvol between 10% and 300% maybe more. correlation between 0 and -90%. reversion time from a month to a couple of years. IMHO of course
reasonable constraints of heston parameters?
Posted: August 24th, 2004, 7:35 am
by SPAAGG
correlation maybe positive... (contrary to the leverage effect)and is not in %
reasonable constraints of heston parameters?
Posted: August 24th, 2004, 5:57 pm
by granchio
depends on the markets. never seen it positive in equity. I would expect it positive in commodities, and zeroish in forex.and what do you mean it is not in percentages??? is it not between -1 and 1?