Explain calibrated Heston parameters in plain English#13
Merged
Conversation
The single fixed initial guess, price-error objective, and absence of parameter bounds let Levenberg-Marquardt settle in a degenerate corner (theta=0, Feller violated, ~11 vol-pt RMSE) on steep equity skews. Replace with a multi-start, bounded fit that minimises implied-vol error and seeds v0/theta from the at-the-money and median variance of the quotes. On steep market-like surfaces this drops vol RMSE from ~11 to ~0.5 with no theta collapse, while synthetic recovery stays at 0.008. Surface the Feller condition on the page so stressed fits are visible. https://claude.ai/code/session_01AXbuChtmt8Xo4cxEtKrady
Replace the raw parameter dump with headline derived readouts (instantaneous vol √v0, long-run vol √θ, variance shock half-life) and a dynamic per-parameter breakdown that interprets each fitted value, plus a one-line gloss of the Merton jump parameters. https://claude.ai/code/session_01AXbuChtmt8Xo4cxEtKrady
This file contains hidden or bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
2 participants
Add this suggestion to a batch that can be applied as a single commit.This suggestion is invalid because no changes were made to the code.Suggestions cannot be applied while the pull request is closed.Suggestions cannot be applied while viewing a subset of changes.Only one suggestion per line can be applied in a batch.Add this suggestion to a batch that can be applied as a single commit.Applying suggestions on deleted lines is not supported.You must change the existing code in this line in order to create a valid suggestion.Outdated suggestions cannot be applied.This suggestion has been applied or marked resolved.Suggestions cannot be applied from pending reviews.Suggestions cannot be applied on multi-line comments.Suggestions cannot be applied while the pull request is queued to merge.Suggestion cannot be applied right now. Please check back later.
No description provided.