怎么找S&P500 call option数据,求高人指点

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Hey, all.

I am doing the calibration of heston model, I need the call price of the options on S&P 500. It's like a table including strikes, bid/ask, maturity,etc.
Since I am not from finance, it is really difficult for me to find the real data. Is there some NBs  who can point out where I can get the data?

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关键词：Option 求高人指点 高人指点 call OPT difficult including finance option really

I have SPX data as of March 7th 2011. I used it to test Dupire's model.

U can try to download from Bloomberg terminal. Cheers.

hangli2 发表于 2011-8-10 21:31
I have SPX data as of March 7th 2011. I used it to test Dupire's model.

U can try to download fro ...

Hi, hangli2.
Thank you very much, but there is still another problem confusing me.
You know there are bid and ask pric, but in my calculation I just need the option price, rather than either of them. However, my supervisor told me the average of ask/bid is still not a good estimation.
Would you please me how did you deal with the ask/bid spread? In other words, in your model what kind of option price did you utilize?

hdznarcissus 发表于 2011-8-10 22:22
However, my supervisor told me the average of ask/bid is still not a good estimation.

why don't you ask your advisor for advice?
btw, you won't get a good fit with heston

LZ您好，我最近也在做HESTON模型相关的东西，参数的calibration是件很头疼的事情，依据标定的参数做hedge最后的结果精度总是不太理想，请问您能否给些建议

my email: cdconan@163.com

cdconan 发表于 2011-8-11 08:39
LZ您好，我最近也在做HESTON模型相关的东西，参数的calibration是件很头疼的事情，依据标定的参数做hedge最 ...

你好，
我身边就有做hedging的，不过我不是太懂。不过你愿意的话我们可以讨论讨论呀。

我主要是做life insurance，只是现在要用到reset option，需要heston model的一些参数。

hdznarcissus 发表于 2011-8-10 22:22
Hi, hangli2.
Thank you very much, but there is still another problem confusing me.
You know ther ...

my supervisors told me mid-price is fine. Bloomberg provides estimation of implied vol calculation and it uses mid price.

this is all I know and what I did in calibration...