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Data in BriefVolume 8, 1 September 2016, Pages 628-630

Test data sets for calibration of stochastic and fractional stochastic volatility models(Data Paper)(Open Access)

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  • NTIS - New Technologies for the Information Society, Faculty of Applied Sciences, University of West Bohemia, Czech Republic

Abstract

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 pricing models. © 2016 The Authors.

Author keywords

Calibration dataFractional stochastic volatility modelHeston modelOption pricingOut-of-sample error

Funding details

Funding sponsor Funding number Acronym
Grantová Agentura České RepublikyLM2015042GA ČR

  • 1

    This work was supported by the GACR Grant 14-11559S Analysis of Fractional Stochastic Volatility Models and their Grid Implementation. Computational resources were provided by the CESNET LM2015042 and the CERIT Scientific Cloud LM2015085, provided under the programme "Projects of Large Research, Development, and Innovations Infrastructures".

  • ISSN: 23523409
  • Source Type: Journal
  • Original language: English
  • DOI: 10.1016/j.dib.2016.06.016
  • Document Type: Data Paper
  • Publisher: Elsevier Inc.

  Pospíšil, J.; NTIS - New Technologies for the Information Society, Faculty of Applied Sciences, University of West Bohemia, Czech Republic;
© Copyright 2019 Elsevier B.V., All rights reserved.

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