Test data sets for calibration of stochastic and fractional stochastic volatility models.

Clicks: 202
ID: 30615
2016
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Abstract
Data for calibration and out-of-sample error testing of option pricing models are provided alongside data obtained from optimization procedures in "On calibration of stochastic and fractional stochastic volatility models" [1]. Firstly we describe testing data sets, further calibration data obtained from combined optimizers is visually depicted - interactive 3d bar plots are provided. The data is suitable for a further comparison of other optimization routines and also to benchmark different pricing models.
Reference Key
pospil2016testdata Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Pospíšil, Jan;Sobotka, Tomáš;
Journal Data in brief
Year 2016
DOI
10.1016/j.dib.2016.06.016
URL
Keywords Keywords not found

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