Re: [Quantlib-dev] Feller Constraint for Heston calibration

[Klaus S. <kl...@sp...>]

Hi

often the Feller condition is not satisfied in real problems (especially for 
equity and fx). In general this doesn't matter. And even if the condition is 
fulfilled a plain vanilla Euler scheme will produce negative variance. 

cheers
 Klaus

On Monday 18 February 2008 14:29:08 Yomi wrote:
> Hi,
>
> I have discussed with Klaus Spedersen some issues for Heston related to the
> Feller condition. In summary, the volatility process could reach negative
> level if this condition is not verified.
> To avoid this I have implemented a small constraint class that checks this
> condition.
>
> http://www.nabble.com/file/p15545372/Heston_Calibration_constraint.hpp
> Heston_Calibration_constraint.hpp
>
> You can use this file to include it into QL if you wish.
>
> Cheers



-- 
Klaus Spanderen
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48734 Reken (Germany)
EMail: kl...@NO... (remove NOSPAM from the address)