Estimación de los parámetros del modelo de Hestonuna aplicación al índice IBEX 35

  1. Crespo Espert, José Luis
  2. Marabel Romo, Jacinto
Revista:
Rect@: Revista Electrónica de Comunicaciones y Trabajos de ASEPUMA

ISSN: 1575-605X

Año de publicación: 2010

Volumen: 11

Número: 1

Páginas: 197-214

Tipo: Artículo

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Otras publicaciones en: Rect@: Revista Electrónica de Comunicaciones y Trabajos de ASEPUMA

Resumen

This article discusses the calibration of the Heston model, using data for the IBEX 35 equity index. One of the most important parameters of the model is the volatility of the instantaneous variance. The estimation of this parameter obtained using realized volatility data corresponding to the period prior to the nancial crisis started in August 2007 is considerably lower than the estimation obtained using implied volatility data corresponding to this month. Conversely, the estimated parameter using realized volatility data after the beginning of the crisis, is similar to the one obtained using implied volatilities. This shows that it can be dangerous for the correct pricing and risk management of options, the estimation of parameters based on historical data, without taking into account the expectations incorporated in the implied volatilities.

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