- Joined
- 9/26/09
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- 1
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- 11
I found the matlab code for calibration of sv heston with asa or lserror. i'm starting to calibrate it but I have a really long horizon (10 years or more) and I don't find option quotes for so long expiries.
second problem: i have to model a short rate. I chose Hull white or extended vasiceck but (starting with r0=0,3% for the euro zc curve), even introducing some scaling factor I can't eliminate some little probability of negative rates.
any suggestions for both problems?
bye
second problem: i have to model a short rate. I chose Hull white or extended vasiceck but (starting with r0=0,3% for the euro zc curve), even introducing some scaling factor I can't eliminate some little probability of negative rates.
any suggestions for both problems?
bye