发帖
雷达卡
Smart parameters for SABR and Heston
In this paper we revisit the problem of calibrating stochastic volatility
models. By finding smart initial parameters, we improve robustness of
Levenberg-Marquardt. Applying this technique to the SABR and Heston
models reduces calibration time by more than
90% compared to globaloptimization techniques such as Simplex or Differential Evolution.
京公网安备 11010802022788号
