Rezervări în orice hodel. This method uses the error between quoted market prices and model prices, or between market and opțiuni model heston implied volatilities. Since loss functions use market option prices or implied volatility derived from those prices as inputs, they produce estimates of the risk-neutral parameters of the Heston model.
There are many possible ways to define a loss function, but they usually fall into one of two categories: those based on prices, and those based on implied volatilities. The first category of loss functions are those that minimize the error between quoted and model prices. The error is usually defined as the squared difference between the quoted and model prices, or the absolute value of the difference; relative errors can also be used.
Again, the error is usually defined as the squared difference, absolute difference, or relative difference, between quoted and model implied volatilities. This category of loss function is sensible, since options are often quoted in terms of implied volatility, and since the fit of model is often assessed by comparing quoted and model implied volatilities.
The relative and absolute versions can also be used. Estimation of the Heston model parameters by loss functions has been used by Bakshi, Cao, and ChenBams et al.
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There is no consensus on which loss function is the best one, but Christoffersen and Jacobs point out that the same loss function should be used for parameter estimation and for evaluating model fit.