Calibration of Stochastic Volatility Model
A partially specified stochastic volatility model, calibrated using the dynamic programming principle and the Heston model, can predict future trends for synthetic and S&P500 data.
Featured in No. 32 on 9 Jan 2024 · on release day
- Released
- 9 Jan 2024
- First featured
- No. 32 · 9 Jan 2024
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- Identifier
- RePEc:wly:jfutmk:v:44:y:2024:i:1:p:75-102
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