THE PARAMETERS ESTIMATION OF EUROPEAN OPTION PRICING MODEL UNDER UNDERLYING ASSET WITH STOCHASTIC VOLATILITY BY LOSS FUNCTION METHOD

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NEISY ABDOLSADEH; MALEKI BEHROOZ; REZAEIAN ROOZBE

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Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2016 | Volume:7 | Issue:28 Page(s): 117-136

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Title

THE PARAMETERS ESTIMATION OF EUROPEAN OPTION PRICING MODEL UNDER UNDERLYING ASSET WITH STOCHASTIC VOLATILITY BY LOSS FUNCTION METHOD

Author(s)

NEISY ABDOLSADEH | MALEKI BEHROOZ | REZAEIAN ROOZBE | Issue Writer Certificate

Keywords

OPTION MODELINGQ1

IMPLIED VOLATILITY SMILEQ1

CLASSIC AND DOUBLE HESTON MODELSQ1

LAGUERRE-GAUSS QUADRATUREQ1

PARAMETER ESTIMATION BY LOSS FUNCTION METHODQ1

Abstract

Calculating the option price in Stochastic Volatility models is one of the most important queries in financial mathematics that several investigations published about it in recent decades. But in most of these investigations, Model Parameters are used in calculating options without calibration and referring to the process of doing this. In this Article, besides introducing and studying Double Heston Model, we want to estimate the parameters of this model with the help of Loss Function. For this, we use Microsoft Corporation put options with similar maturities and different strike prices, and with estimating Implied Volatility of put option price of this company in April 2015, we achieved this matter.

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APA: Copy

NEISY, ABDOLSADEH, MALEKI, BEHROOZ, & REZAEIAN, ROOZBE. (2016). THE PARAMETERS ESTIMATION OF EUROPEAN OPTION PRICING MODEL UNDER UNDERLYING ASSET WITH STOCHASTIC VOLATILITY BY LOSS FUNCTION METHOD. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 7(28), 117-136. SID. https://sid.ir/paper/356322/en

Vancouver: Copy

NEISY ABDOLSADEH, MALEKI BEHROOZ, REZAEIAN ROOZBE. THE PARAMETERS ESTIMATION OF EUROPEAN OPTION PRICING MODEL UNDER UNDERLYING ASSET WITH STOCHASTIC VOLATILITY BY LOSS FUNCTION METHOD. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2016;7(28):117-136. Available from: https://sid.ir/paper/356322/en

IEEE: Copy

ABDOLSADEH NEISY, BEHROOZ MALEKI, and ROOZBE REZAEIAN, “THE PARAMETERS ESTIMATION OF EUROPEAN OPTION PRICING MODEL UNDER UNDERLYING ASSET WITH STOCHASTIC VOLATILITY BY LOSS FUNCTION METHOD,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 7, no. 28, pp. 117–136, 2016, [Online]. Available: https://sid.ir/paper/356322/en

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