Calibration of parameters for the Heston model in the high volatility period of market

University essay from Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)

Author: Maria Maslova; [2008]

Keywords: Heston model; calibration parameters; Bayesian analysis; deviation detection problem;

Abstract: The main idea of our work is the calibration parameters for the Heston stochastic volatility model. We make this procedure by using the OMXS30 index from the NASDAQ OMX Nordic Exchange Market. We separate our data into the stable period and high-volatility period on this Nordic Market. Deviation detection problem are solved using the Bayesian analysis of change-points. We estimate parameters of the Heston model for each of periods and make some conclusions.

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