An alternative form used to calibrate the Heston option pricing model

摘要

This paper presents an alternative form of the Heston model that preserves an essential advantage of the Heston model, its analytic tractability, by imposing the necessary and sufficient conditions for the existence of a solution in affine form, while it is in a different form so that it offers certain advantages in parameter determination. To demonstrate this, we conducted some empirical studies, exploring if this new form does have certain advantages over the original version under certain market conditions. (C) 2016 Elsevier Ltd. All rights reserved.