Table 6 Uniformly distributed points between the lower and upper bounds of the Heston parameters
From: A neural network-based framework for financial model calibration
Parameter | Lower | Upper | Points | CaNN search space |
|---|---|---|---|---|
ρ | −0.75 | −0.25 | 5 | [−0.85,−0.05] |
ν̄ | 0.15 | 0.35 | 5 | [0.05,0.45] |
γ | 0.3 | 0.5 | 5 | [0.05,0.75] |
\(\nu _{0}\) | 0.15 | 0.35 | 5 | [0.05, 0.45] |
κ | 0.5 | 1.0 | 5 | [0.1, 2.0] |