Heston模型的SWIFT校准
SWIFT calibration of the Heston model
摘要：
本文将欧式期权的SWIFT定价方法推广到Heston模型的校正。利用特征函数的封闭形式，简化了期权价格梯度的计算。建议的校准机器似乎是非常快的，特别是对于一个单一的到期和多次罢工，优于国家的最先进的方法，我们比较。此外，SWIFT参数的先验知识使得所提出的校准方法的可靠和实用的实施成为可能。进行了广泛的压力，速度和收敛性的数值实验，与深的钱，在钱和深的钱非常短和非常长的期限选择。
英文摘要：
In the present work, the European option pricing SWIFT method is extended for Heston model calibration. The computation of the option price gradient is simplified thanks to the knowledge of the characteristic function in closed form. The proposed calibration machinery appears to be extremely fast, in particular for a single expiry and multiples strikes, outperforming the state-of-the-art method we compare with. Further, the a priori knowledge of SWIFT parameters makes possible a reliable and practical implementation of the presented calibration method. A wide set of stress, speed and convergence numerical experiments is carried out, with deep in-the-money, at-the-money and deep out-of-the-money options for very short and very long maturities.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
