Heston (1993) on DAX
Posted: June 2nd, 2005, 10:12 am
Hi, Are there any paper implementing Heston model on DAX to provide the parameters value? Need to read one for comparation.My data is from 2002 to 2004My calibrations are V1=0.04V2=0.04lambda=2eta=0.39rho=-0.6but does not seem good. Thanks!