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Contents:

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

Hedging#

Contents:

  • Hedging with Black-Scholes
  • Hedging with Heston

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Calibration of Bates models on market data

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Hedging with Black-Scholes

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