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

Jan Pospíšil; Tomáš Sobotka

doi:10.1016/j.dib.2016.06.016

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

Data Brief. 2016 Jun 21:8:628-30. doi: 10.1016/j.dib.2016.06.016. eCollection 2016 Sep.

Authors

Jan Pospíšil¹, Tomáš Sobotka¹

Affiliation

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

Abstract

Data for calibration and out-of-sample error testing of option pricing models are provided alongside data obtained from optimization procedures in "On calibration of stochastic and fractional stochastic volatility models" [1]. Firstly we describe testing data sets, further calibration data obtained from combined optimizers is visually depicted - interactive 3d bar plots are provided. The data is suitable for a further comparison of other optimization routines and also to benchmark different pricing models.

Keywords: Calibration data; Fractional stochastic volatility model; Heston model; Option pricing; Out-of-sample error.