[Quantlib-users] Heston Crazy Calibration with Higher Volatility

[Mario M. <mar...@ou...>]

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



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