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From: Mario M. <mar...@ou...> - 2018-02-12 14:44:25
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Dear All, I have been using Heston Calibration for a while now with QL and it always worked fine. However, volatility in the last weeks has increased substantially and today I realized that I had problems with the calibration. It took me a while to understand that the problem is that the calibration is generating me crazy parameters (for instance, k > 1000) which are messing up my pricing model. Can anyone provide guidance on why the issue occurred and how it is resolvable? I tried with some previous surface and it works fine so it cannot be an error in the source code. Thank you all, Mario -- Sent from: http://quantlib.10058.n7.nabble.com/quantlib-users-f3.html |