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Contents:

  • Pricing
    • Pricing with Heston
    • Pricing with Bates
  • Calibration
    • With syntetic market price
    • Impact of parameters
    • Calibration on market data
    • Heston calibration on market data
    • Bates calibration on market data
  • Hedging
    • Hedging with Black-Scholes
    • Hedging with Heston
  • Examples
  • Calibration

Calibration#

Contents:

  • With syntetic market price
  • Impact of parameters
  • Calibration on market data
  • Heston calibration on market data
  • Bates calibration on market data

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Pricing with Bates

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With syntetic market price
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