Heston Parameters and Exotic Option Data for the SPX (2012-2018)
Published: 1 September 2025| Version 2 | DOI: 10.17632/8g3p7mj544.2
Contributor:
Radu BriciuDescription
This dataset contains calibrated Heston Stochastic Volatility model paramaters accompanied by a spread of exotic option contracts for each paramter combination. The data served as a training set for a neural network approximation of Barrier and Asian option pricing functions.
Files
Steps to reproduce
Steps are documented in the reference article with SSRN abstract 5104328
Categories
Financial Economics, Financial Market, Financial Mathematics, Disequilibrium in Incomplete Market