Smiling for the Delayed Volatility Swaps
نویسندگان
چکیده
منابع مشابه
Smiling for the Delayed Volatility Swaps
We present a variance drift adjusted version of the Heston model which leads to a significant improvement of the market volatility surface fitting (compared to Heston). The numerical example we performed with recent market data shows a significant reduction of the average absolute calibration error 1 (calibration on 12 dates ranging from Sep. 19 to Oct. 17 2011 for the FOREX underlying EURUSD)....
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ژورنال
عنوان ژورنال: Wilmott
سال: 2014
ISSN: 1540-6962
DOI: 10.1002/wilm.10382