Hi guys,
I am writing my bachelor's thesis about option pricing models.
I have an empirical section where I compare in-sample (=parameter estimation
for out-of-sample) and out-of-sample (forecasting into future) prices.
I use Fabrice Rouah's and Gregory Vainberg's book called "Option Pricing
Models & Volatility Using Excel-VBA".
I was able to use their practitioner Black-Scholes %RMSE spreadsheet for calculating my prices. It had different maturities.
However, when I use their Heston spreadsheet- it has only one maturity.
But...I have 4 different maturities. I have tried to edit the VBA code to make the function consider more than one maturity, but haven't succeeded.
I would be really grateful if someone could help me!
I attached the Practitioner Black-Scholes excel spreadsheet that uses the %RMSE loss function, as well as Heston %RMSE. When looking at both VBA codes in Module 3 at the bottom, you can see that for Heston, there is "t", whereas for PBS there is t(i)...and i= n.
It is clear that Heston is coded for one maturity. That is the big problem for me.
Also, for the Heston model the data ranges from row 10 to 31- I noticed if I delete
the 31st row--the spreadsheet shows ERROR and doesn't create new price estimates.
Thank you in advance!
I am writing my bachelor's thesis about option pricing models.
I have an empirical section where I compare in-sample (=parameter estimation
for out-of-sample) and out-of-sample (forecasting into future) prices.
I use Fabrice Rouah's and Gregory Vainberg's book called "Option Pricing
Models & Volatility Using Excel-VBA".
I was able to use their practitioner Black-Scholes %RMSE spreadsheet for calculating my prices. It had different maturities.
However, when I use their Heston spreadsheet- it has only one maturity.
But...I have 4 different maturities. I have tried to edit the VBA code to make the function consider more than one maturity, but haven't succeeded.
I would be really grateful if someone could help me!
I attached the Practitioner Black-Scholes excel spreadsheet that uses the %RMSE loss function, as well as Heston %RMSE. When looking at both VBA codes in Module 3 at the bottom, you can see that for Heston, there is "t", whereas for PBS there is t(i)...and i= n.
It is clear that Heston is coded for one maturity. That is the big problem for me.
Also, for the Heston model the data ranges from row 10 to 31- I noticed if I delete
the 31st row--the spreadsheet shows ERROR and doesn't create new price estimates.
Thank you in advance!