Test data sets for calibration of stochastic and fractional stochastic volatility models.
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ABSTRACT:
SUBMITTER: Pospisil J
PROVIDER: S-EPMC4936599 | biostudies-literature | 2016 Sep
REPOSITORIES: biostudies-literature
Publications
Test data sets for calibration of stochastic and fractional stochastic volatility models.
Pospíšil Jan J Sobotka Tomáš T
Data in brief 20160621
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 pric ...[more]
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