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Test data sets for calibration of stochastic and fractional stochastic volatility models

Jan Pospíšil1, Tomáš Sobotka1

  • 1NTIS - New Technologies for the Information Society, Faculty of Applied Sciences, University of West Bohemia, Czech Republic.

Data in Brief
|July 16, 2016
PubMed

Keywords:
Calibration dataFractional stochastic volatility modelHeston modelOption pricingOut-of-sample error

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