I'm doing a Heston model in Matlab using simple Monte Carlo simulations (5.000 paths and 2 steps per day, simulating 360 days). When I try to calibrate the Heston parameters using fminsearch it takes a lot of time and initial values almost doesn't change, so I guess there are a lot local minimization points. So is there any algorithm to obtain good initial values?

Kind regards, Oliver.

  • $\begingroup$ try searching adjoint calibration Heston $\endgroup$ – Mark Joshi Jun 11 '15 at 1:36
  • $\begingroup$ I think fmincon (Find minimum of constrained nonlinear multivariable function) better than fminsearch $\endgroup$ – user16651 Jun 26 '15 at 19:37
  • $\begingroup$ Hi, here is a great reference for anything you might encounter while calibrating Heston model "The Heston Model and its Extensions in Matlab and C#" by F.D.Rouah. $\endgroup$ – Michael Mark Apr 17 '18 at 13:32

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