《Efficient and robust calibration of the Heston option pricingSearch Algorithm赫斯頓期權(quán)定價(jià)的高效穩(wěn)健校正 使用改良布谷鳥(niǎo)的美式期權(quán)模型 搜索算法》由會(huì)員上傳分享，免費(fèi)在線閱讀，更多相關(guān)內(nèi)容在學(xué)術(shù)論文-天天文庫(kù)。

1、EcientandrobustcalibrationoftheHestonoptionpricingmodelforAmericanoptionsusinganimprovedCuckooSearchAlgorithmStefanHaringRonaldHochreiterAugust3,2015AbstractInthispaperanimprovedCuckooSearchAlgorithmisdevelopedtoallowforanecientandrobustcalibrationoftheHestonopt

2、ionpricingmodelforAmericanoptions.CalibrationofstochasticvolatilitymodelsliketheHestonissignicantlyharderthanclassicaloptionpricingmodelsasmoreparametershavetobeestimated.ThediculttaskofcalibratingoneofthesemodelstoAmericanPutoptionsdataisthemainobjectiveofthisp

3、aper.Numericalresultsareshowntosubstantiatethesuitabilityofthechosenmethodtotacklethisproblem.Keywords.Optionpricing,Hestonmodel,Cuckoosearch,Finance1IntroductionTheclassicaltextbookexampleforpricingoptionsisthefamousBlack-Scholesmodel,see[1].Sinceitscreationin197

4、3,ithascausedadramaticincreaseinoptionstradingbecauseofitsrelativelysimpleusability.Itprovidesclosed-formsolutionsforEuropeanCallandPutoptionsaswellasAmericanCalloptions.ForAmericanPutoptions,noclosed-formsolutionexistsbecauseanoptimalstoppingtimeproblemhastobesol

5、ved.Overtheyears,criticismoftheBlack-Scholesmodelhasarisensinceitdoesnotaccuratelycapturethebehaviourofoptionpricesinthemarket.Forexample,thewell-knownvolatilitysmile,whichshowsthatdeepinthemoneyandoutthemoneyoptionshavehigherprices(andthereforehigherimpliedvolati

6、lity),isnottakenintoaccountintheBlack-Scholesmodelsinceoneofitsmainassumptionsisconstantvolatility.Toaccuratelyre ectmarketbehaviour,optionpricingmodelsinwhichvolatilitychangesovertime,so-calledstochasticvolatilitymodels,havebeencreated.Inthesemodels,thevolatility

7、isitselffollowingaprocessthatchangeswithtimet.SomeexamplesforthesemodelsaretheHestonmodel[2],theCEVmodel[3][4]andtheChenmodel[5].CalibrationofthesestochasticvolatilitymodelsissignicantlyharderthanfortheBlack-arXiv:1507.08937v1[cs.NE]31Jul2015Scholesmodel,sincemor

8、eparametershavetobeestimated.ThediculttaskofcalibratingoneofthesemodelstoAmericanPutoptionsdataisthemainobjectiveofthispaper.WewillfocusontheHestonmode