Re: [Quantlib-users] AnaliticHestonEngine -- SV or SVJ

[nabbleuser2008 <cc2...@ya...>]

Hi Javit,
 
 Thanks much for your reply. I posted the question since, in the
HestonCalibrationHelper constructor, the payoff is used as follows: 

 boost::shared_ptr<StrikedTypePayoff> payoff(
                          new PlainVanillaPayoff(Option::Call,
strikePrice_)); 

 Are you saying if I get the implied vol of puts it should work because
impvol of a call and the put are the same (in theory, not sure if that holds
in practice, anyone ? ) with the same strike and maturity due to put call
parity ? I'm using americans, so I didn't think I can use this equality
assumption.   Or, are you saying it should work for a different reason ?

 Also, I very much like to know your calibration results. Would you be able
to share your findings of the calibration, pls ? I really like to know how
accurate your model prices are wrt market prices.

 Thank you very much. 

C


Dear nabbleuser,

I recently calibrated Bates model by using Quantlib. I see no computational
reason why you can't calibrate to put options. I used volatility surface to
calibrate the model. It is upto you how to build the volatility surface. Use
calls, puts, swaptions etc.

Good luck,
Cavit (Javit) Hafizoglu


nabbleuser2008 wrote:
> 
> Dear Klaus,
>   
>   Thanks much for the information. It was really helpful. 
> 
>   I'm using the same thread to ask a related question, since it is kind of
> directed at you  ...
> 
>   I am wondering why the HestonModelHelper  does not allow puts be used in
> the calibration -- since Heston pricing engine can price the puts, I felt
> that only change required is allowing Option::Type be specified as a
> parameter in the constructor. Do you agree with my thinking ? if not, is
> there a reason for not using the puts for calibration ?
> 
>  I am asking this question because I am experimenting ways to achieve a
> good calibration, and I'd like to see if I can get a better calibration by
> using puts. Mainly I'm interested in out of the money puts and calls and
> I'm trying out ways to improve my model prices.    
> 
>  As an additional piece of info, I'm using the american prices as input,
> but I use the BaroneAdesyWhaley approximation to find the value of the
> correspoinding european which I use in the calibration.  
> 
> I'm planning to use the Bates model next, but I would like to use the puts
> for the Heston calibration unless it doesn't make sense. 
>    
> Thanks much for your help. 
> 
> C
> 
> 
> 
> Klaus Spanderen-2 wrote:
>> 
>> Hi
>> 
>> The Bates model is a Heston model plus a (stochastic) jump processes for
>> the 
>> equity underlying. E. g. Gatheral is discussing the Bates model with 
>> log-normal jump diffusion process at page 65 ff. IMO Bates is used more
>> often  
>> in real life than the Heston-Nandi model.
>> 
>> regards 
>>  Klaus
>> 
>> 
>> 
> 
> 

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