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THE ZULF OPTION PRICING MODEL: CLOSED FORM LONG MEMORY STOCHASTIC VOLATILITY SUPERIOR TO HESTON MODEL

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zulfikar.ahmed@gmail.com<zulfikar.ahmed@gmail.com>

5:29 PM (3 hours ago)

 to jfrenkel, jhansen, jharrington, jharris, jhp, jhricko_4, jhs, jhutasoi, jianjunp, jinha, jjbrehm, jlind, jlondon, jlw, jmateo, jmerseth, jmetcalf, jmg, jmogel, joel, joelms, john.aldrich, john.beatty, johncrawford53, jose.oliveira

This is the right parsimonious manner that takes into account long memory in stochastic volatility and retains the closed-form solution of Heston model (but is better fit to actual volatility surfaces).

[1] “Getting stock vol= SWK”
[1] “alpha= 1.33926539730736”
[1] “rho=-0.37 kappa=0.11 sigma=0.78 v0=0.07 vT=0.02”
[1] “Completed calibration for SWK”
[1] “S=43.34 X=30.00 log(MN)=0.368 tau=0.143 mkt=0.51 heston=0.50 relerr=0.0228 abserr=0.012 ”
[1] “S=43.34 X=35.00 log(MN)=0.214 tau=0.143 mkt=0.26 heston=0.37 relerr=0.3917 abserr=0.103 ***”
[1] “S=43.34 X=40.00 log(MN)=0.080 tau=0.143 mkt=0.31 heston=0.29 relerr=0.0552 abserr=0.017 ”
[1] “S=43.34 X=45.00 log(MN)=-0.038 tau=0.143 mkt=0.26 heston=0.25 relerr=0.0397 abserr=0.010 ”
[1] “S=43.34 X=50.00 log(MN)=-0.143 tau=0.143 mkt=0.25 heston=0.25 relerr=0.0084 abserr=0.002 ”
[1] “S=43.34 X=30.00 log(MN)=0.368 tau=0.282 mkt=0.44 heston=0.44 relerr=0.0012 abserr=0.001 ”
[1] “S=43.34 X=35.00 log(MN)=0.214 tau=0.282 mkt=0.29 heston=0.35 relerr=0.1853 abserr=0.054 ”
[1] “S=43.34 X=40.00 log(MN)=0.080 tau=0.282 mkt=0.27 heston=0.28 relerr=0.0486 abserr=0.013 ”
[1] “S=43.34 X=45.00 log(MN)=-0.038 tau=0.282 mkt=0.25 heston=0.24 relerr=0.0581 abserr=0.015 ”
[1] “S=43.34 X=50.00 log(MN)=-0.143 tau=0.282 mkt=0.23 heston=0.24 relerr=0.0504 abserr=0.011 ”
[1] “S=43.34 X=30.00 log(MN)=0.368 tau=0.643 mkt=0.33 heston=0.39 relerr=0.1965 abserr=0.065 ”
[1] “S=43.34 X=35.00 log(MN)=0.214 tau=0.643 mkt=0.30 heston=0.32 relerr=0.0677 abserr=0.020 ”
[1] “S=43.34 X=40.00 log(MN)=0.080 tau=0.643 mkt=0.26 heston=0.26 relerr=0.0001 abserr=0.000 ”
[1] “S=43.34 X=45.00 log(MN)=-0.038 tau=0.643 mkt=0.24 heston=0.22 relerr=0.0947 abserr=0.023 ”
[1] “S=43.34 X=50.00 log(MN)=-0.143 tau=0.643 mkt=0.22 heston=0.22 relerr=0.0003 abserr=0.000 ”
[1] “In LMHeston comparison alpha= 0.669632698653682”
[1] “S=43.34 X=30.00 log(MN)=0.368 tau=0.143 mkt=0.51 fracheston=0.50 relerr=0.0382 abserr=0.020 ”
[1] “S=43.34 X=35.00 log(MN)=0.214 tau=0.143 mkt=0.26 fracheston=0.34 relerr=0.2753 abserr=0.072 ”
[1] “S=43.34 X=40.00 log(MN)=0.080 tau=0.143 mkt=0.31 fracheston=0.27 relerr=0.1136 abserr=0.035 ”
[1] “S=43.34 X=45.00 log(MN)=-0.038 tau=0.143 mkt=0.26 fracheston=0.26 relerr=0.0127 abserr=0.003 ”
[1] “S=43.34 X=50.00 log(MN)=-0.143 tau=0.143 mkt=0.25 fracheston=0.25 relerr=0.0001 abserr=0.000 ”
[1] “S=43.34 X=30.00 log(MN)=0.368 tau=0.282 mkt=0.44 fracheston=0.41 relerr=0.0693 abserr=0.030 ”
[1] “S=43.34 X=35.00 log(MN)=0.214 tau=0.282 mkt=0.29 fracheston=0.31 relerr=0.0612 abserr=0.018 ”
[1] “S=43.34 X=40.00 log(MN)=0.080 tau=0.282 mkt=0.27 fracheston=0.27 relerr=0.0020 abserr=0.001 ”
[1] “S=43.34 X=45.00 log(MN)=-0.038 tau=0.282 mkt=0.25 fracheston=0.25 relerr=0.0040 abserr=0.001 ”
[1] “S=43.34 X=50.00 log(MN)=-0.143 tau=0.282 mkt=0.23 fracheston=0.25 relerr=0.0772 abserr=0.018 ”
[1] “S=43.34 X=30.00 log(MN)=0.368 tau=0.643 mkt=0.33 fracheston=0.35 relerr=0.0692 abserr=0.023 ”
[1] “S=43.34 X=35.00 log(MN)=0.214 tau=0.643 mkt=0.30 fracheston=0.29 relerr=0.0254 abserr=0.008 ”
[1] “S=43.34 X=40.00 log(MN)=0.080 tau=0.643 mkt=0.26 fracheston=0.26 relerr=0.0015 abserr=0.000 ”
[1] “S=43.34 X=45.00 log(MN)=-0.038 tau=0.643 mkt=0.24 fracheston=0.24 relerr=0.0001 abserr=0.000 ”
[1] “S=43.34 X=50.00 log(MN)=-0.143 tau=0.643 mkt=0.22 fracheston=0.23 relerr=0.0603 abserr=0.013 ”
[1] “SWK,2002-02-08,2002-02-08,0.0173124389637729,0.0120968470999045,0.477224748284645”
[1] “Stock: SLF”
[1] “Getting stock vol= SLF”
[1] “Stock: Z”
[1] “Getting stock vol= Z”
[1] “alpha= 1.35291607267611”
[1] “rho=-0.82 kappa=0.55 sigma=0.34 v0=0.16 vT=0.21”
[1] “Completed calibration for Z”
[1] “S=15.10 X=12.50 log(MN)=0.189 tau=0.143 mkt=0.51 heston=0.45 relerr=0.1266 abserr=0.065 ”
[1] “S=15.10 X=15.00 log(MN)=0.007 tau=0.143 mkt=0.41 heston=0.40 relerr=0.0113 abserr=0.005 ”
[1] “S=15.10 X=17.50 log(MN)=-0.148 tau=0.143 mkt=0.37 heston=0.37 relerr=0.0003 abserr=0.000 ”
[1] “S=15.10 X=12.50 log(MN)=0.189 tau=0.393 mkt=0.48 heston=0.44 relerr=0.0777 abserr=0.037 ”
[1] “S=15.10 X=15.00 log(MN)=0.007 tau=0.393 mkt=0.39 heston=0.41 relerr=0.0297 abserr=0.012 ”
[1] “S=15.10 X=17.50 log(MN)=-0.148 tau=0.393 mkt=0.36 heston=0.38 relerr=0.0350 abserr=0.013 ”
[1] “S=15.10 X=12.50 log(MN)=0.189 tau=0.754 mkt=0.44 heston=0.44 relerr=0.0124 abserr=0.005 ”
[1] “S=15.10 X=15.00 log(MN)=0.007 tau=0.754 mkt=0.41 heston=0.41 relerr=0.0103 abserr=0.004 ”
[1] “S=15.10 X=17.50 log(MN)=-0.148 tau=0.754 mkt=0.36 heston=0.38 relerr=0.0637 abserr=0.023 ”
[1] “S=15.10 X=5.00 log(MN)=1.105 tau=1.365 mkt=0.71 heston=0.70 relerr=0.0193 abserr=0.014 ”
[1] “S=15.10 X=10.00 log(MN)=0.412 tau=1.365 mkt=0.49 heston=0.49 relerr=0.0020 abserr=0.001 ”
[1] “S=15.10 X=15.00 log(MN)=0.007 tau=1.365 mkt=0.42 heston=0.41 relerr=0.0171 abserr=0.007 ”
[1] “S=15.10 X=10.00 log(MN)=0.412 tau=2.810 mkt=0.48 heston=0.49 relerr=0.0119 abserr=0.006 ”
[1] “S=15.10 X=15.00 log(MN)=0.007 tau=2.810 mkt=0.42 heston=0.42 relerr=0.0004 abserr=0.000 ”
[1] “S=15.10 X=20.00 log(MN)=-0.281 tau=2.810 mkt=0.39 heston=0.38 relerr=0.0176 abserr=0.007 ”
[1] “In LMHeston comparison alpha= 0.676458036338054”
[1] “S=15.10 X=12.50 log(MN)=0.189 tau=0.143 mkt=0.51 fracheston=0.45 relerr=0.1100 abserr=0.056 ”
[1] “S=15.10 X=15.00 log(MN)=0.007 tau=0.143 mkt=0.41 fracheston=0.41 relerr=0.0071 abserr=0.003 ”
[1] “S=15.10 X=17.50 log(MN)=-0.148 tau=0.143 mkt=0.37 fracheston=0.37 relerr=0.0005 abserr=0.000 ”
[1] “S=15.10 X=12.50 log(MN)=0.189 tau=0.393 mkt=0.48 fracheston=0.45 relerr=0.0537 abserr=0.026 ”
[1] “S=15.10 X=15.00 log(MN)=0.007 tau=0.393 mkt=0.39 fracheston=0.41 relerr=0.0379 abserr=0.015 ”
[1] “S=15.10 X=17.50 log(MN)=-0.148 tau=0.393 mkt=0.36 fracheston=0.38 relerr=0.0358 abserr=0.013 ”
[1] “S=15.10 X=12.50 log(MN)=0.189 tau=0.754 mkt=0.44 fracheston=0.46 relerr=0.0406 abserr=0.018 ”
[1] “S=15.10 X=15.00 log(MN)=0.007 tau=0.754 mkt=0.41 fracheston=0.41 relerr=0.0043 abserr=0.002 ”
[1] “S=15.10 X=17.50 log(MN)=-0.148 tau=0.754 mkt=0.36 fracheston=0.38 relerr=0.0582 abserr=0.021 ”
[1] “S=15.10 X=5.00 log(MN)=1.105 tau=1.365 mkt=0.71 fracheston=0.73 relerr=0.0249 abserr=0.018 ”
[1] “S=15.10 X=10.00 log(MN)=0.412 tau=1.365 mkt=0.49 fracheston=0.51 relerr=0.0497 abserr=0.024 ”
[1] “S=15.10 X=15.00 log(MN)=0.007 tau=1.365 mkt=0.42 fracheston=0.41 relerr=0.0192 abserr=0.008 ”
[1] “S=15.10 X=10.00 log(MN)=0.412 tau=2.810 mkt=0.48 fracheston=0.50 relerr=0.0314 abserr=0.015 ”
[1] “S=15.10 X=15.00 log(MN)=0.007 tau=2.810 mkt=0.42 fracheston=0.41 relerr=0.0221 abserr=0.009 ”
[1] “S=15.10 X=20.00 log(MN)=-0.281 tau=2.810 mkt=0.39 fracheston=0.37 relerr=0.0621 abserr=0.024 ”
[1] “Z,2002-02-08,2002-02-08,0.00944413722707552,0.0120019972617687,0.577869733210704”
[1] “Stock: DFIB”
[1] “Getting stock vol= DFIB”
[1] “Stock: YCC”
[1] “Getting stock vol= YCC”
[1] “Stock: HBI”
[1] “Getting stock vol= HBI”
[1] “alpha= 1.33897936414795”
[1] “rho=-0.65 kappa=0.24 sigma=0.49 v0=0.04 vT=0.28”
[1] “Completed calibration for HBI”
[1] “S=21.11 X=17.50 log(MN)=0.188 tau=0.179 mkt=0.36 heston=0.31 relerr=0.1302 abserr=0.046 ”
[1] “S=21.11 X=20.00 log(MN)=0.054 tau=0.179 mkt=0.23 heston=0.24 relerr=0.0418 abserr=0.010 ”
[1] “S=21.11 X=22.50 log(MN)=-0.064 tau=0.179 mkt=0.19 heston=0.19 relerr=0.0016 abserr=0.000 ”
[1] “S=21.11 X=17.50 log(MN)=0.188 tau=0.540 mkt=0.30 heston=0.30 relerr=0.0096 abserr=0.003 ”
[1] “S=21.11 X=20.00 log(MN)=0.054 tau=0.540 mkt=0.25 heston=0.25 relerr=0.0001 abserr=0.000 ”
[1] “S=21.11 X=22.50 log(MN)=-0.064 tau=0.540 mkt=0.22 heston=0.21 relerr=0.0490 abserr=0.011 ”
[1] “S=21.11 X=17.50 log(MN)=0.188 tau=0.901 mkt=0.31 heston=0.31 relerr=0.0021 abserr=0.001 ”
[1] “S=21.11 X=20.00 log(MN)=0.054 tau=0.901 mkt=0.26 heston=0.26 relerr=0.0252 abserr=0.006 ”
[1] “S=21.11 X=22.50 log(MN)=-0.064 tau=0.901 mkt=0.23 heston=0.23 relerr=0.0001 abserr=0.000 ”
[1] “In LMHeston comparison alpha= 0.669489682073975”
[1] “S=21.11 X=17.50 log(MN)=0.188 tau=0.179 mkt=0.36 fracheston=0.31 relerr=0.1424 abserr=0.051 ”
[1] “S=21.11 X=20.00 log(MN)=0.054 tau=0.179 mkt=0.23 fracheston=0.24 relerr=0.0241 abserr=0.006 ”
[1] “S=21.11 X=22.50 log(MN)=-0.064 tau=0.179 mkt=0.19 fracheston=0.19 relerr=0.0154 abserr=0.003 ”
[1] “S=21.11 X=17.50 log(MN)=0.188 tau=0.540 mkt=0.30 fracheston=0.30 relerr=0.0035 abserr=0.001 ”
[1] “S=21.11 X=20.00 log(MN)=0.054 tau=0.540 mkt=0.25 fracheston=0.25 relerr=0.0000 abserr=0.000 ”
[1] “S=21.11 X=22.50 log(MN)=-0.064 tau=0.540 mkt=0.22 fracheston=0.21 relerr=0.0471 abserr=0.010 ”
[1] “S=21.11 X=17.50 log(MN)=0.188 tau=0.901 mkt=0.31 fracheston=0.31 relerr=0.0001 abserr=0.000 ”
[1] “S=21.11 X=20.00 log(MN)=0.054 tau=0.901 mkt=0.26 fracheston=0.26 relerr=0.0286 abserr=0.007 ”
[1] “S=21.11 X=22.50 log(MN)=-0.064 tau=0.901 mkt=0.23 fracheston=0.23 relerr=0.0019 abserr=0.000 ”
[1] “HBI,2006-09-06,2006-09-06,0.00643848694849572,0.00654763491629094,0.984680571687477”
[1] “Stock: EMN”
[1] “Getting stock vol= EMN”
[1] “alpha= 1.34388800609573”
[1] “rho=0.24 kappa=-0.05 sigma=0.52 v0=0.05 vT=0.18”
[1] “Stock: ACTR”
[1] “Getting stock vol= ACTR”
[1] “Stock: UGI”
[1] “Getting stock vol= UGI”
[1] “alpha= 1.33805836714528”
[1] “rho=-0.67 kappa=0.27 sigma=0.62 v0=0.05 vT=0.09”
[1] “Completed calibration for UGI”
[1] “S=29.85 X=25.00 log(MN)=0.177 tau=0.155 mkt=0.37 heston=0.32 relerr=0.1392 abserr=0.051 ”
[1] “S=29.85 X=30.00 log(MN)=-0.005 tau=0.155 mkt=0.21 heston=0.21 relerr=0.0061 abserr=0.001 ”
[1] “S=29.85 X=35.00 log(MN)=-0.159 tau=0.155 mkt=0.23 heston=0.19 relerr=0.1919 abserr=0.045 ”
[1] “S=29.85 X=25.00 log(MN)=0.177 tau=0.516 mkt=0.27 heston=0.29 relerr=0.0714 abserr=0.019 ”
[1] “S=29.85 X=30.00 log(MN)=-0.005 tau=0.516 mkt=0.20 heston=0.20 relerr=0.0012 abserr=0.000 ”
[1] “S=29.85 X=35.00 log(MN)=-0.159 tau=0.516 mkt=0.19 heston=0.16 relerr=0.1377 abserr=0.026 ”
[1] “S=29.85 X=40.00 log(MN)=-0.293 tau=0.516 mkt=0.25 heston=0.18 relerr=0.2876 abserr=0.071 ”
[1] “S=29.85 X=25.00 log(MN)=0.177 tau=0.877 mkt=0.23 heston=0.28 relerr=0.2322 abserr=0.052 ”
[1] “S=29.85 X=30.00 log(MN)=-0.005 tau=0.877 mkt=0.19 heston=0.19 relerr=0.0446 abserr=0.008 ”
[1] “S=29.85 X=35.00 log(MN)=-0.159 tau=0.877 mkt=0.18 heston=0.16 relerr=0.1201 abserr=0.021 ”
[1] “In LMHeston comparison alpha= 0.669029183572641”
[1] “S=29.85 X=25.00 log(MN)=0.177 tau=0.155 mkt=0.37 fracheston=0.34 relerr=0.0733 abserr=0.027 ”
[1] “S=29.85 X=30.00 log(MN)=-0.005 tau=0.155 mkt=0.21 fracheston=0.22 relerr=0.0496 abserr=0.011 ”
[1] “S=29.85 X=35.00 log(MN)=-0.159 tau=0.155 mkt=0.23 fracheston=0.23 relerr=0.0000 abserr=0.000 ”
[1] “S=29.85 X=25.00 log(MN)=0.177 tau=0.516 mkt=0.27 fracheston=0.29 relerr=0.0785 abserr=0.021 ”
[1] “S=29.85 X=30.00 log(MN)=-0.005 tau=0.516 mkt=0.20 fracheston=0.18 relerr=0.0883 abserr=0.018 ”
[1] “S=29.85 X=35.00 log(MN)=-0.159 tau=0.516 mkt=0.19 fracheston=0.20 relerr=0.0766 abserr=0.014 ”
[1] “S=29.85 X=40.00 log(MN)=-0.293 tau=0.516 mkt=0.25 fracheston=0.24 relerr=0.0107 abserr=0.003 ”
[1] “S=29.85 X=25.00 log(MN)=0.177 tau=0.877 mkt=0.23 fracheston=0.26 relerr=0.1584 abserr=0.036 ”
[1] “S=29.85 X=30.00 log(MN)=-0.005 tau=0.877 mkt=0.19 fracheston=0.16 relerr=0.1543 abserr=0.029 ”
[1] “S=29.85 X=35.00 log(MN)=-0.159 tau=0.877 mkt=0.18 fracheston=0.18 relerr=0.0000 abserr=0.000 ”
[1] “UGI,2003-09-09,2003-09-09,0.0197046982371611,0.0105176995254735,0.205657538044838”
[1] “Stock: AMP”
[1] “Getting stock vol= AMP”
^C
[1] “Stock,StartDate,FinishDate,HestonMean,fracHestonMean,TtestPValue”
[1] “Stock: MIL”
[1] “Getting stock vol= MIL”
[1] “alpha= 1.34531914325315”
[1] “rho=-0.57 kappa=0.09 sigma=0.30 v0=0.07 vT=0.45”
[1] “Completed calibration for MIL”
[1] “S=51.53 X=50.00 log(MN)=0.030 tau=0.143 mkt=0.27 heston=0.27 relerr=0.0184 abserr=0.005 ”
[1] “S=51.53 X=55.00 log(MN)=-0.065 tau=0.143 mkt=0.23 heston=0.25 relerr=0.0751 abserr=0.017 ”
[1] “S=51.53 X=60.00 log(MN)=-0.152 tau=0.143 mkt=0.25 heston=0.24 relerr=0.0610 abserr=0.015 ”
[1] “S=51.53 X=45.00 log(MN)=0.136 tau=0.282 mkt=0.30 heston=0.30 relerr=0.0008 abserr=0.000 ”
[1] “S=51.53 X=50.00 log(MN)=0.030 tau=0.282 mkt=0.28 heston=0.27 relerr=0.0139 abserr=0.004 ”
[1] “S=51.53 X=55.00 log(MN)=-0.065 tau=0.282 mkt=0.25 heston=0.26 relerr=0.0353 abserr=0.009 ”
[1] “S=51.53 X=60.00 log(MN)=-0.152 tau=0.282 mkt=0.24 heston=0.24 relerr=0.0246 abserr=0.006 ”
[1] “S=51.53 X=65.00 log(MN)=-0.232 tau=0.282 mkt=0.27 heston=0.23 relerr=0.1300 abserr=0.035 ”
[1] “S=51.53 X=70.00 log(MN)=-0.306 tau=0.282 mkt=0.31 heston=0.23 relerr=0.2679 abserr=0.084 ”
[1] “S=51.53 X=45.00 log(MN)=0.136 tau=0.643 mkt=0.31 heston=0.31 relerr=0.0043 abserr=0.001 ”
[1] “S=51.53 X=50.00 log(MN)=0.030 tau=0.643 mkt=0.28 heston=0.28 relerr=0.0042 abserr=0.001 ”
[1] “S=51.53 X=55.00 log(MN)=-0.065 tau=0.643 mkt=0.26 heston=0.27 relerr=0.0046 abserr=0.001 ”
[1] “S=51.53 X=60.00 log(MN)=-0.152 tau=0.643 mkt=0.25 heston=0.25 relerr=0.0084 abserr=0.002 ”
[1] “S=51.53 X=65.00 log(MN)=-0.232 tau=0.643 mkt=0.24 heston=0.24 relerr=0.0029 abserr=0.001 ”
[1] “S=51.53 X=70.00 log(MN)=-0.306 tau=0.643 mkt=0.23 heston=0.24 relerr=0.0267 abserr=0.006 ”
[1] “S=51.53 X=40.00 log(MN)=0.253 tau=1.365 mkt=0.35 heston=0.35 relerr=0.0175 abserr=0.006 ”
[1] “S=51.53 X=50.00 log(MN)=0.030 tau=1.365 mkt=0.30 heston=0.30 relerr=0.0188 abserr=0.006 ”
[1] “S=51.53 X=60.00 log(MN)=-0.152 tau=1.365 mkt=0.28 heston=0.27 relerr=0.0281 abserr=0.008 ”
[1] “S=51.53 X=65.00 log(MN)=-0.232 tau=1.365 mkt=0.26 heston=0.26 relerr=0.0132 abserr=0.004 ”
[1] “S=51.53 X=40.00 log(MN)=0.253 tau=2.810 mkt=0.36 heston=0.37 relerr=0.0373 abserr=0.013 ”
[1] “S=51.53 X=50.00 log(MN)=0.030 tau=2.810 mkt=0.33 heston=0.33 relerr=0.0000 abserr=0.000 ”
[1] “S=51.53 X=60.00 log(MN)=-0.152 tau=2.810 mkt=0.30 heston=0.31 relerr=0.0178 abserr=0.005 ”
[1] “S=51.53 X=70.00 log(MN)=-0.306 tau=2.810 mkt=0.29 heston=0.29 relerr=0.0064 abserr=0.002 ”
[1] “S=51.53 X=80.00 log(MN)=-0.440 tau=2.810 mkt=0.28 heston=0.28 relerr=0.0004 abserr=0.000 ”
[1] “In LMHeston comparison alpha= 0.672659571626576”
[1] “S=51.53 X=50.00 log(MN)=0.030 tau=0.143 mkt=0.27 fracheston=0.27 relerr=0.0279 abserr=0.008 ”
[1] “S=51.53 X=55.00 log(MN)=-0.065 tau=0.143 mkt=0.23 fracheston=0.25 relerr=0.0543 abserr=0.013 ”
[1] “S=51.53 X=60.00 log(MN)=-0.152 tau=0.143 mkt=0.25 fracheston=0.24 relerr=0.0586 abserr=0.015 ”
[1] “S=51.53 X=45.00 log(MN)=0.136 tau=0.282 mkt=0.30 fracheston=0.30 relerr=0.0146 abserr=0.004 ”
[1] “S=51.53 X=50.00 log(MN)=0.030 tau=0.282 mkt=0.28 fracheston=0.27 relerr=0.0198 abserr=0.006 ”
[1] “S=51.53 X=55.00 log(MN)=-0.065 tau=0.282 mkt=0.25 fracheston=0.25 relerr=0.0196 abserr=0.005 ”
[1] “S=51.53 X=60.00 log(MN)=-0.152 tau=0.282 mkt=0.24 fracheston=0.24 relerr=0.0298 abserr=0.007 ”
[1] “S=51.53 X=65.00 log(MN)=-0.232 tau=0.282 mkt=0.27 fracheston=0.24 relerr=0.0918 abserr=0.025 ”
[1] “S=51.53 X=70.00 log(MN)=-0.306 tau=0.282 mkt=0.31 fracheston=0.25 relerr=0.2077 abserr=0.065 ”
[1] “S=51.53 X=45.00 log(MN)=0.136 tau=0.643 mkt=0.31 fracheston=0.31 relerr=0.0085 abserr=0.003 ”
[1] “S=51.53 X=50.00 log(MN)=0.030 tau=0.643 mkt=0.28 fracheston=0.28 relerr=0.0000 abserr=0.000 ”
[1] “S=51.53 X=55.00 log(MN)=-0.065 tau=0.643 mkt=0.26 fracheston=0.26 relerr=0.0063 abserr=0.002 ”
[1] “S=51.53 X=60.00 log(MN)=-0.152 tau=0.643 mkt=0.25 fracheston=0.25 relerr=0.0017 abserr=0.000 ”
[1] “S=51.53 X=65.00 log(MN)=-0.232 tau=0.643 mkt=0.24 fracheston=0.25 relerr=0.0392 abserr=0.009 ”
[1] “S=51.53 X=70.00 log(MN)=-0.306 tau=0.643 mkt=0.23 fracheston=0.25 relerr=0.0993 abserr=0.023 ”
[1] “S=51.53 X=40.00 log(MN)=0.253 tau=1.365 mkt=0.35 fracheston=0.35 relerr=0.0011 abserr=0.000 ”
[1] “S=51.53 X=50.00 log(MN)=0.030 tau=1.365 mkt=0.30 fracheston=0.30 relerr=0.0118 abserr=0.003 ”
[1] “S=51.53 X=60.00 log(MN)=-0.152 tau=1.365 mkt=0.28 fracheston=0.27 relerr=0.0299 abserr=0.008 ”
[1] “S=51.53 X=65.00 log(MN)=-0.232 tau=1.365 mkt=0.26 fracheston=0.27 relerr=0.0037 abserr=0.001 ”
[1] “S=51.53 X=40.00 log(MN)=0.253 tau=2.810 mkt=0.36 fracheston=0.37 relerr=0.0300 abserr=0.011 ”
[1] “S=51.53 X=50.00 log(MN)=0.030 tau=2.810 mkt=0.33 fracheston=0.33 relerr=0.0204 abserr=0.007 ”
[1] “S=51.53 X=60.00 log(MN)=-0.152 tau=2.810 mkt=0.30 fracheston=0.30 relerr=0.0018 abserr=0.001 ”
[1] “S=51.53 X=70.00 log(MN)=-0.306 tau=2.810 mkt=0.29 fracheston=0.29 relerr=0.0071 abserr=0.002 ”
[1] “S=51.53 X=80.00 log(MN)=-0.440 tau=2.810 mkt=0.28 fracheston=0.29 relerr=0.0272 abserr=0.008 ”
[1] “MIL,2002-02-08,2002-02-08,0.00826741015523922,0.00801169750506851,0.948843089552889”
[1] “Stock: GZTC”
[1] “Getting stock vol= GZTC”
[1] “Stock: RMC”
[1] “Getting stock vol= RMC”
[1] “Stock: HWAY”
[1] “Getting stock vol= HWAY”
[1] “alpha= 1.3406244760644”
[1] “rho=-0.71 kappa=0.25 sigma=0.49 v0=0.11 vT=0.24”
[1] “Completed calibration for HWAY”
[1] “S=45.22 X=40.00 log(MN)=0.123 tau=0.175 mkt=0.38 heston=0.38 relerr=0.0000 abserr=0.000 ”
[1] “S=45.22 X=45.00 log(MN)=0.005 tau=0.175 mkt=0.33 heston=0.34 relerr=0.0550 abserr=0.018 ”
[1] “S=45.22 X=50.00 log(MN)=-0.100 tau=0.175 mkt=0.29 heston=0.31 relerr=0.0686 abserr=0.020 ”
[1] “S=45.22 X=35.00 log(MN)=0.256 tau=0.425 mkt=0.44 heston=0.42 relerr=0.0599 abserr=0.027 ”
[1] “S=45.22 X=40.00 log(MN)=0.123 tau=0.425 mkt=0.39 heston=0.38 relerr=0.0273 abserr=0.011 ”
[1] “S=45.22 X=45.00 log(MN)=0.005 tau=0.425 mkt=0.35 heston=0.34 relerr=0.0101 abserr=0.004 ”
[1] “S=45.22 X=50.00 log(MN)=-0.100 tau=0.425 mkt=0.32 heston=0.31 relerr=0.0257 abserr=0.008 ”
[1] “S=45.22 X=40.00 log(MN)=0.123 tau=0.786 mkt=0.37 heston=0.38 relerr=0.0091 abserr=0.003 ”
[1] “S=45.22 X=45.00 log(MN)=0.005 tau=0.786 mkt=0.34 heston=0.34 relerr=0.0032 abserr=0.001 ”
[1] “S=45.22 X=50.00 log(MN)=-0.100 tau=0.786 mkt=0.31 heston=0.31 relerr=0.0000 abserr=0.000 ”
[1] “S=45.22 X=55.00 log(MN)=-0.196 tau=0.786 mkt=0.30 heston=0.29 relerr=0.0333 abserr=0.010 ”
[1] “In LMHeston comparison alpha= 0.670312238032199”
[1] “S=45.22 X=40.00 log(MN)=0.123 tau=0.175 mkt=0.38 fracheston=0.38 relerr=0.0000 abserr=0.000 ”
[1] “S=45.22 X=45.00 log(MN)=0.005 tau=0.175 mkt=0.33 fracheston=0.34 relerr=0.0525 abserr=0.017 ”
[1] “S=45.22 X=50.00 log(MN)=-0.100 tau=0.175 mkt=0.29 fracheston=0.32 relerr=0.0752 abserr=0.022 ”
[1] “S=45.22 X=35.00 log(MN)=0.256 tau=0.425 mkt=0.44 fracheston=0.42 relerr=0.0515 abserr=0.023 ”
[1] “S=45.22 X=40.00 log(MN)=0.123 tau=0.425 mkt=0.39 fracheston=0.38 relerr=0.0234 abserr=0.009 ”
[1] “S=45.22 X=45.00 log(MN)=0.005 tau=0.425 mkt=0.35 fracheston=0.34 relerr=0.0097 abserr=0.003 ”
[1] “S=45.22 X=50.00 log(MN)=-0.100 tau=0.425 mkt=0.32 fracheston=0.32 relerr=0.0182 abserr=0.006 ”
[1] “S=45.22 X=40.00 log(MN)=0.123 tau=0.786 mkt=0.37 fracheston=0.38 relerr=0.0108 abserr=0.004 ”
[1] “S=45.22 X=45.00 log(MN)=0.005 tau=0.786 mkt=0.34 fracheston=0.34 relerr=0.0000 abserr=0.000 ”
[1] “S=45.22 X=50.00 log(MN)=-0.100 tau=0.786 mkt=0.31 fracheston=0.32 relerr=0.0028 abserr=0.001 ”
[1] “S=45.22 X=55.00 log(MN)=-0.196 tau=0.786 mkt=0.30 fracheston=0.30 relerr=0.0063 abserr=0.002 ”
[1] “HWAY,2006-02-02,2006-02-02,0.00676481258106204,0.00580611069326588,0.758010871058584”
[1] “Stock: GZMO”
[1] “Getting stock vol= GZMO”
[1] “Stock: WTW”
[1] “Getting stock vol= WTW”
[1] “alpha= 1.34627351158804”
[1] “rho=-0.57 kappa=0.19 sigma=0.56 v0=0.09 vT=0.21”
[1] “Completed calibration for WTW”
[1] “S=46.00 X=35.00 log(MN)=0.273 tau=0.202 mkt=0.43 heston=0.41 relerr=0.0429 abserr=0.018 ”
[1] “S=46.00 X=40.00 log(MN)=0.140 tau=0.202 mkt=0.36 heston=0.35 relerr=0.0336 abserr=0.012 ”
[1] “S=46.00 X=45.00 log(MN)=0.022 tau=0.202 mkt=0.30 heston=0.31 relerr=0.0383 abserr=0.011 ”
[1] “S=46.00 X=50.00 log(MN)=-0.083 tau=0.202 mkt=0.27 heston=0.28 relerr=0.0559 abserr=0.015 ”
[1] “S=46.00 X=55.00 log(MN)=-0.179 tau=0.202 mkt=0.25 heston=0.26 relerr=0.0702 abserr=0.017 ”
[1] “S=46.00 X=35.00 log(MN)=0.273 tau=0.425 mkt=0.38 heston=0.39 relerr=0.0248 abserr=0.010 ”
[1] “S=46.00 X=40.00 log(MN)=0.140 tau=0.425 mkt=0.35 heston=0.35 relerr=0.0000 abserr=0.000 ”
[1] “S=46.00 X=45.00 log(MN)=0.022 tau=0.425 mkt=0.31 heston=0.31 relerr=0.0008 abserr=0.000 ”
[1] “S=46.00 X=50.00 log(MN)=-0.083 tau=0.425 mkt=0.28 heston=0.28 relerr=0.0053 abserr=0.001 ”
[1] “S=46.00 X=55.00 log(MN)=-0.179 tau=0.425 mkt=0.27 heston=0.26 relerr=0.0169 abserr=0.004 ”
[1] “S=46.00 X=35.00 log(MN)=0.273 tau=0.786 mkt=0.39 heston=0.38 relerr=0.0055 abserr=0.002 ”
[1] “S=46.00 X=40.00 log(MN)=0.140 tau=0.786 mkt=0.33 heston=0.34 relerr=0.0199 abserr=0.007 ”
[1] “S=46.00 X=45.00 log(MN)=0.022 tau=0.786 mkt=0.31 heston=0.30 relerr=0.0195 abserr=0.006 ”
[1] “S=46.00 X=50.00 log(MN)=-0.083 tau=0.786 mkt=0.29 heston=0.27 relerr=0.0542 abserr=0.016 ”
[1] “S=46.00 X=55.00 log(MN)=-0.179 tau=0.786 mkt=0.26 heston=0.26 relerr=0.0263 abserr=0.007 ”
[1] “In LMHeston comparison alpha= 0.673136755794019”
[1] “S=46.00 X=35.00 log(MN)=0.273 tau=0.202 mkt=0.43 fracheston=0.40 relerr=0.0596 abserr=0.026 ”
[1] “S=46.00 X=40.00 log(MN)=0.140 tau=0.202 mkt=0.36 fracheston=0.34 relerr=0.0591 abserr=0.021 ”
[1] “S=46.00 X=45.00 log(MN)=0.022 tau=0.202 mkt=0.30 fracheston=0.30 relerr=0.0035 abserr=0.001 ”
[1] “S=46.00 X=50.00 log(MN)=-0.083 tau=0.202 mkt=0.27 fracheston=0.27 relerr=0.0077 abserr=0.002 ”
[1] “S=46.00 X=55.00 log(MN)=-0.179 tau=0.202 mkt=0.25 fracheston=0.25 relerr=0.0061 abserr=0.002 ”
[1] “S=46.00 X=35.00 log(MN)=0.273 tau=0.425 mkt=0.38 fracheston=0.39 relerr=0.0198 abserr=0.008 ”
[1] “S=46.00 X=40.00 log(MN)=0.140 tau=0.425 mkt=0.35 fracheston=0.35 relerr=0.0037 abserr=0.001 ”
[1] “S=46.00 X=45.00 log(MN)=0.022 tau=0.425 mkt=0.31 fracheston=0.31 relerr=0.0022 abserr=0.001 ”
[1] “S=46.00 X=50.00 log(MN)=-0.083 tau=0.425 mkt=0.28 fracheston=0.28 relerr=0.0029 abserr=0.001 ”
[1] “S=46.00 X=55.00 log(MN)=-0.179 tau=0.425 mkt=0.27 fracheston=0.26 relerr=0.0368 abserr=0.010 ”
[1] “S=46.00 X=35.00 log(MN)=0.273 tau=0.786 mkt=0.39 fracheston=0.39 relerr=0.0136 abserr=0.005 ”
[1] “S=46.00 X=40.00 log(MN)=0.140 tau=0.786 mkt=0.33 fracheston=0.35 relerr=0.0486 abserr=0.016 ”
[1] “S=46.00 X=45.00 log(MN)=0.022 tau=0.786 mkt=0.31 fracheston=0.32 relerr=0.0167 abserr=0.005 ”
[1] “S=46.00 X=50.00 log(MN)=-0.083 tau=0.786 mkt=0.29 fracheston=0.29 relerr=0.0170 abserr=0.005 ”
[1] “S=46.00 X=55.00 log(MN)=-0.179 tau=0.786 mkt=0.26 fracheston=0.26 relerr=0.0001 abserr=0.000 ”
[1] “WTW,2003-01-02,2003-01-02,0.00638029909614255,0.00517242431119254,0.593168488306217”
[1] “Stock: STEL”
[1] “Getting stock vol= STEL”
[1] “Stock: AVID”
[1] “Getting stock vol= AVID”
[1] “alpha= 1.34609954044104”
[1] “Stock: ATW”
[1] “Getting stock vol= ATW”
[1] “alpha= 1.33427544025822”
[1] “rho=-0.59 kappa=0.34 sigma=0.30 v0=0.10 vT=0.29”
[1] “Completed calibration for ATW”
[1] “S=37.00 X=25.00 log(MN)=0.392 tau=0.143 mkt=0.45 heston=0.53 relerr=0.1869 abserr=0.083 ”
[1] “S=37.00 X=30.00 log(MN)=0.210 tau=0.143 mkt=0.38 heston=0.39 relerr=0.0056 abserr=0.002 ”
[1] “S=37.00 X=35.00 log(MN)=0.056 tau=0.143 mkt=0.36 heston=0.34 relerr=0.0414 abserr=0.015 ”
[1] “S=37.00 X=22.50 log(MN)=0.497 tau=0.282 mkt=0.44 heston=0.53 relerr=0.1937 abserr=0.086 ”
[1] “S=37.00 X=25.00 log(MN)=0.392 tau=0.282 mkt=0.44 heston=0.46 relerr=0.0409 abserr=0.018 ”
[1] “S=37.00 X=30.00 log(MN)=0.210 tau=0.282 mkt=0.39 heston=0.38 relerr=0.0280 abserr=0.011 ”
[1] “S=37.00 X=35.00 log(MN)=0.056 tau=0.282 mkt=0.35 heston=0.35 relerr=0.0149 abserr=0.005 ”
[1] “S=37.00 X=40.00 log(MN)=-0.078 tau=0.282 mkt=0.33 heston=0.33 relerr=0.0001 abserr=0.000 ”
[1] “S=37.00 X=25.00 log(MN)=0.392 tau=0.643 mkt=0.43 heston=0.43 relerr=0.0001 abserr=0.000 ”
[1] “S=37.00 X=30.00 log(MN)=0.210 tau=0.643 mkt=0.40 heston=0.39 relerr=0.0159 abserr=0.006 ”
[1] “S=37.00 X=35.00 log(MN)=0.056 tau=0.643 mkt=0.36 heston=0.36 relerr=0.0000 abserr=0.000 ”
[1] “S=37.00 X=40.00 log(MN)=-0.078 tau=0.643 mkt=0.32 heston=0.34 relerr=0.0541 abserr=0.018 ”
[1] “In LMHeston comparison alpha= 0.66713772012911”
[1] “S=37.00 X=25.00 log(MN)=0.392 tau=0.143 mkt=0.45 fracheston=0.53 relerr=0.1952 abserr=0.087 ”
[1] “S=37.00 X=30.00 log(MN)=0.210 tau=0.143 mkt=0.38 fracheston=0.40 relerr=0.0295 abserr=0.011 ”
[1] “S=37.00 X=35.00 log(MN)=0.056 tau=0.143 mkt=0.36 fracheston=0.35 relerr=0.0354 abserr=0.013 ”
[1] “S=37.00 X=22.50 log(MN)=0.497 tau=0.282 mkt=0.44 fracheston=0.52 relerr=0.1757 abserr=0.078 ”
[1] “S=37.00 X=25.00 log(MN)=0.392 tau=0.282 mkt=0.44 fracheston=0.47 relerr=0.0687 abserr=0.030 ”
[1] “S=37.00 X=30.00 log(MN)=0.210 tau=0.282 mkt=0.39 fracheston=0.39 relerr=0.0001 abserr=0.000 ”
[1] “S=37.00 X=35.00 log(MN)=0.056 tau=0.282 mkt=0.35 fracheston=0.35 relerr=0.0043 abserr=0.002 ”
[1] “S=37.00 X=40.00 log(MN)=-0.078 tau=0.282 mkt=0.33 fracheston=0.33 relerr=0.0074 abserr=0.002 ”
[1] “S=37.00 X=25.00 log(MN)=0.392 tau=0.643 mkt=0.43 fracheston=0.45 relerr=0.0388 abserr=0.017 ”
[1] “S=37.00 X=30.00 log(MN)=0.210 tau=0.643 mkt=0.40 fracheston=0.40 relerr=0.0103 abserr=0.004 ”
[1] “S=37.00 X=35.00 log(MN)=0.056 tau=0.643 mkt=0.36 fracheston=0.36 relerr=0.0067 abserr=0.002 ”
[1] “S=37.00 X=40.00 log(MN)=-0.078 tau=0.643 mkt=0.32 fracheston=0.34 relerr=0.0417 abserr=0.014 ”
[1] “ATW,2002-02-08,2002-02-08,0.0143488347091413,0.0152702111883542,0.920986260759563”
[1] “Stock: FTUS”
[1] “Getting stock vol= FTUS”
[1] “Stock: SKT”
[1] “Getting stock vol= SKT”
[1] “alpha= 1.34004109419911”
[1] “rho=-0.73 kappa=0.38 sigma=0.36 v0=0.12 vT=0.01”
[1] “Completed calibration for SKT”
[1] “S=35.80 X=35.00 log(MN)=0.023 tau=0.202 mkt=0.35 heston=0.34 relerr=0.0193 abserr=0.007 ”
[1] “S=35.80 X=40.00 log(MN)=-0.111 tau=0.202 mkt=0.32 heston=0.32 relerr=0.0071 abserr=0.002 ”
[1] “S=35.80 X=45.00 log(MN)=-0.229 tau=0.202 mkt=0.31 heston=0.29 relerr=0.0730 abserr=0.023 ”
[1] “S=35.80 X=35.00 log(MN)=0.023 tau=0.341 mkt=0.34 heston=0.34 relerr=0.0126 abserr=0.004 ”
[1] “S=35.80 X=40.00 log(MN)=-0.111 tau=0.341 mkt=0.31 heston=0.31 relerr=0.0112 abserr=0.003 ”
[1] “S=35.80 X=45.00 log(MN)=-0.229 tau=0.341 mkt=0.28 heston=0.28 relerr=0.0327 abserr=0.009 ”
[1] “S=35.80 X=35.00 log(MN)=0.023 tau=0.702 mkt=0.32 heston=0.33 relerr=0.0261 abserr=0.008 ”
[1] “S=35.80 X=40.00 log(MN)=-0.111 tau=0.702 mkt=0.30 heston=0.30 relerr=0.0038 abserr=0.001 ”
[1] “S=35.80 X=45.00 log(MN)=-0.229 tau=0.702 mkt=0.27 heston=0.27 relerr=0.0002 abserr=0.000 ”
[1] “In LMHeston comparison alpha= 0.670020547099553”
[1] “S=35.80 X=35.00 log(MN)=0.023 tau=0.202 mkt=0.35 fracheston=0.35 relerr=0.0000 abserr=0.000 ”
[1] “S=35.80 X=40.00 log(MN)=-0.111 tau=0.202 mkt=0.32 fracheston=0.32 relerr=0.0025 abserr=0.001 ”
[1] “S=35.80 X=45.00 log(MN)=-0.229 tau=0.202 mkt=0.31 fracheston=0.30 relerr=0.0317 abserr=0.010 ”
[1] “S=35.80 X=35.00 log(MN)=0.023 tau=0.341 mkt=0.34 fracheston=0.34 relerr=0.0203 abserr=0.007 ”
[1] “S=35.80 X=40.00 log(MN)=-0.111 tau=0.341 mkt=0.31 fracheston=0.31 relerr=0.0000 abserr=0.000 ”
[1] “S=35.80 X=45.00 log(MN)=-0.229 tau=0.341 mkt=0.28 fracheston=0.29 relerr=0.0703 abserr=0.019 ”
[1] “S=35.80 X=35.00 log(MN)=0.023 tau=0.702 mkt=0.32 fracheston=0.32 relerr=0.0000 abserr=0.000 ”
[1] “S=35.80 X=40.00 log(MN)=-0.111 tau=0.702 mkt=0.30 fracheston=0.28 relerr=0.0507 abserr=0.015 ”
[1] “S=35.80 X=45.00 log(MN)=-0.229 tau=0.702 mkt=0.27 fracheston=0.27 relerr=0.0190 abserr=0.005 ”
[1] “SKT,2008-06-26,2008-06-26,0.00528610422291484,0.00518979503747534,0.973870683243455”
[1] “Stock: PCOP”
[1] “Getting stock vol= PCOP”
[1] “Stock: MTU”
[1] “Getting stock vol= MTU”
[1] “Stock: RBI”
[1] “Getting stock vol= RBI”
[1] “Stock: WGRD”
[1] “Getting stock vol= WGRD”
[1] “Stock: CLB”
[1] “Getting stock vol= CLB”
[1] “Stock: PKI”
[1] “Getting stock vol= PKI”
[1] “alpha= 1.34051258893173”
[1] “rho=-0.33 kappa=0.21 sigma=0.58 v0=0.16 vT=0.01”
[1] “Completed calibration for PKI”
[1] “S=26.47 X=20.00 log(MN)=0.280 tau=0.143 mkt=0.46 heston=0.48 relerr=0.0346 abserr=0.016 ”
[1] “S=26.47 X=22.50 log(MN)=0.162 tau=0.143 mkt=0.48 heston=0.43 relerr=0.0928 abserr=0.044 ”
[1] “S=26.47 X=25.00 log(MN)=0.057 tau=0.143 mkt=0.40 heston=0.41 relerr=0.0314 abserr=0.012 ”
[1] “S=26.47 X=30.00 log(MN)=-0.125 tau=0.143 mkt=0.38 heston=0.38 relerr=0.0117 abserr=0.004 ”
[1] “S=26.47 X=35.00 log(MN)=-0.279 tau=0.143 mkt=0.46 heston=0.38 relerr=0.1829 abserr=0.085 ”
[1] “S=26.47 X=40.00 log(MN)=-0.413 tau=0.143 mkt=0.63 heston=0.38 relerr=0.3882 abserr=0.243 ***”
[1] “S=26.47 X=22.50 log(MN)=0.162 tau=0.532 mkt=0.41 heston=0.41 relerr=0.0003 abserr=0.000 ”
[1] “S=26.47 X=25.00 log(MN)=0.057 tau=0.532 mkt=0.39 heston=0.39 relerr=0.0046 abserr=0.002 ”
[1] “S=26.47 X=30.00 log(MN)=-0.125 tau=0.532 mkt=0.37 heston=0.36 relerr=0.0154 abserr=0.006 ”
[1] “S=26.47 X=35.00 log(MN)=-0.279 tau=0.532 mkt=0.36 heston=0.36 relerr=0.0041 abserr=0.001 ”
[1] “S=26.47 X=40.00 log(MN)=-0.413 tau=0.532 mkt=0.37 heston=0.37 relerr=0.0001 abserr=0.000 ”
[1] “S=26.47 X=22.50 log(MN)=0.162 tau=0.893 mkt=0.40 heston=0.40 relerr=0.0110 abserr=0.004 ”
[1] “S=26.47 X=25.00 log(MN)=0.057 tau=0.893 mkt=0.37 heston=0.37 relerr=0.0163 abserr=0.006 ”
[1] “S=26.47 X=30.00 log(MN)=-0.125 tau=0.893 mkt=0.35 heston=0.35 relerr=0.0047 abserr=0.002 ”
[1] “S=26.47 X=35.00 log(MN)=-0.279 tau=0.893 mkt=0.33 heston=0.34 relerr=0.0296 abserr=0.010 ”
[1] “S=26.47 X=40.00 log(MN)=-0.413 tau=0.893 mkt=0.33 heston=0.35 relerr=0.0665 abserr=0.022 ”
[1] “In LMHeston comparison alpha= 0.670256294465865”
[1] “S=26.47 X=20.00 log(MN)=0.280 tau=0.143 mkt=0.46 fracheston=0.48 relerr=0.0345 abserr=0.016 ”
[1] “S=26.47 X=22.50 log(MN)=0.162 tau=0.143 mkt=0.48 fracheston=0.43 relerr=0.0986 abserr=0.047 ”
[1] “S=26.47 X=25.00 log(MN)=0.057 tau=0.143 mkt=0.40 fracheston=0.40 relerr=0.0181 abserr=0.007 ”
[1] “S=26.47 X=30.00 log(MN)=-0.125 tau=0.143 mkt=0.38 fracheston=0.38 relerr=0.0058 abserr=0.002 ”
[1] “S=26.47 X=35.00 log(MN)=-0.279 tau=0.143 mkt=0.46 fracheston=0.38 relerr=0.1901 abserr=0.088 ”
[1] “S=26.47 X=40.00 log(MN)=-0.413 tau=0.143 mkt=0.63 fracheston=0.74 relerr=0.1774 abserr=0.111 ”
[1] “S=26.47 X=22.50 log(MN)=0.162 tau=0.532 mkt=0.41 fracheston=0.41 relerr=0.0035 abserr=0.001 ”
[1] “S=26.47 X=25.00 log(MN)=0.057 tau=0.532 mkt=0.39 fracheston=0.39 relerr=0.0087 abserr=0.003 ”
[1] “S=26.47 X=30.00 log(MN)=-0.125 tau=0.532 mkt=0.37 fracheston=0.36 relerr=0.0231 abserr=0.009 ”
[1] “S=26.47 X=35.00 log(MN)=-0.279 tau=0.532 mkt=0.36 fracheston=0.36 relerr=0.0082 abserr=0.003 ”
[1] “S=26.47 X=40.00 log(MN)=-0.413 tau=0.532 mkt=0.37 fracheston=0.37 relerr=0.0159 abserr=0.006 ”
[1] “S=26.47 X=22.50 log(MN)=0.162 tau=0.893 mkt=0.40 fracheston=0.40 relerr=0.0005 abserr=0.000 ”
[1] “S=26.47 X=25.00 log(MN)=0.057 tau=0.893 mkt=0.37 fracheston=0.38 relerr=0.0199 abserr=0.007 ”
[1] “S=26.47 X=30.00 log(MN)=-0.125 tau=0.893 mkt=0.35 fracheston=0.35 relerr=0.0036 abserr=0.001 ”
[1] “S=26.47 X=35.00 log(MN)=-0.279 tau=0.893 mkt=0.33 fracheston=0.35 relerr=0.0447 abserr=0.015 ”
[1] “S=26.47 X=40.00 log(MN)=-0.413 tau=0.893 mkt=0.33 fracheston=0.35 relerr=0.0723 abserr=0.024 ”
[1] “PKI,2002-02-08,2002-02-08,0.020798291598156,0.0154913236815891,0.685617186221787”
[1] “Stock: SPTN”
[1] “Getting stock vol= SPTN”
[1] “alpha= 1.34477926949736”
[1] “rho=-0.68 kappa=0.30 sigma=0.60 v0=0.13 vT=0.00”
[1] “Completed calibration for SPTN”
[1] “S=17.77 X=12.50 log(MN)=0.352 tau=0.155 mkt=0.58 heston=0.51 relerr=0.1167 abserr=0.067 ”
[1] “S=17.77 X=15.00 log(MN)=0.169 tau=0.155 mkt=0.43 heston=0.41 relerr=0.0436 abserr=0.019 ”
[1] “S=17.77 X=17.50 log(MN)=0.015 tau=0.155 mkt=0.36 heston=0.36 relerr=0.0135 abserr=0.005 ”
[1] “S=17.77 X=12.50 log(MN)=0.352 tau=0.405 mkt=0.47 heston=0.46 relerr=0.0023 abserr=0.001 ”
[1] “S=17.77 X=15.00 log(MN)=0.169 tau=0.405 mkt=0.37 heston=0.40 relerr=0.0638 abserr=0.024 ”
[1] “S=17.77 X=17.50 log(MN)=0.015 tau=0.405 mkt=0.35 heston=0.35 relerr=0.0001 abserr=0.000 ”
[1] “S=17.77 X=12.50 log(MN)=0.352 tau=0.766 mkt=0.43 heston=0.44 relerr=0.0223 abserr=0.010 ”
[1] “S=17.77 X=15.00 log(MN)=0.169 tau=0.766 mkt=0.36 heston=0.38 relerr=0.0446 abserr=0.016 ”
[1] “S=17.77 X=17.50 log(MN)=0.015 tau=0.766 mkt=0.34 heston=0.32 relerr=0.0493 abserr=0.017 ”
[1] “In LMHeston comparison alpha= 0.672389634748679”
[1] “S=17.77 X=12.50 log(MN)=0.352 tau=0.155 mkt=0.58 fracheston=0.51 relerr=0.1224 abserr=0.071 ”
[1] “S=17.77 X=15.00 log(MN)=0.169 tau=0.155 mkt=0.43 fracheston=0.41 relerr=0.0562 abserr=0.024 ”
[1] “S=17.77 X=17.50 log(MN)=0.015 tau=0.155 mkt=0.36 fracheston=0.36 relerr=0.0000 abserr=0.000 ”
[1] “S=17.77 X=12.50 log(MN)=0.352 tau=0.405 mkt=0.47 fracheston=0.47 relerr=0.0001 abserr=0.000 ”
[1] “S=17.77 X=15.00 log(MN)=0.169 tau=0.405 mkt=0.37 fracheston=0.40 relerr=0.0659 abserr=0.025 ”
[1] “S=17.77 X=17.50 log(MN)=0.015 tau=0.405 mkt=0.35 fracheston=0.35 relerr=0.0049 abserr=0.002 ”
[1] “S=17.77 X=12.50 log(MN)=0.352 tau=0.766 mkt=0.43 fracheston=0.45 relerr=0.0418 abserr=0.018 ”
[1] “S=17.77 X=15.00 log(MN)=0.169 tau=0.766 mkt=0.36 fracheston=0.39 relerr=0.0681 abserr=0.025 ”
[1] “S=17.77 X=17.50 log(MN)=0.015 tau=0.766 mkt=0.34 fracheston=0.33 relerr=0.0191 abserr=0.006 ”
[1] “SPTN,2006-10-10,2006-10-10,0.0132105478142758,0.0142123786088362,0.903337773225726”
[1] “Stock: PMTR”
[1] “Getting stock vol= PMTR”
[1] “Stock: HMN”
[1] “Getting stock vol= HMN”
[1] “alpha= 1.34044030521179”
[1] “rho=0.48 kappa=0.24 sigma=0.46 v0=0.08 vT=0.23”
[1] “Completed calibration for HMN”
[1] “S=21.75 X=17.50 log(MN)=0.217 tau=0.143 mkt=0.00 heston=0.33 relerr=4203318563297062.5000 abserr=0.332 ***”
[1] “S=21.75 X=20.00 log(MN)=0.084 tau=0.143 mkt=0.28 heston=0.29 relerr=0.0118 abserr=0.003 ”
[1] “S=21.75 X=22.50 log(MN)=-0.034 tau=0.143 mkt=0.30 heston=0.30 relerr=0.0026 abserr=0.001 ”
[1] “S=21.75 X=25.00 log(MN)=-0.139 tau=0.143 mkt=0.32 heston=0.32 relerr=0.0007 abserr=0.000 ”
[1] “S=21.75 X=15.00 log(MN)=0.372 tau=0.393 mkt=0.29 heston=0.37 relerr=0.2714 abserr=0.080 ”
[1] “S=21.75 X=17.50 log(MN)=0.217 tau=0.393 mkt=0.32 heston=0.30 relerr=0.0453 abserr=0.014 ”
[1] “S=21.75 X=20.00 log(MN)=0.084 tau=0.393 mkt=0.31 heston=0.29 relerr=0.0689 abserr=0.022 ”
[1] “S=21.75 X=22.50 log(MN)=-0.034 tau=0.393 mkt=0.29 heston=0.31 relerr=0.0765 abserr=0.022 ”
[1] “S=21.75 X=17.50 log(MN)=0.217 tau=0.754 mkt=0.30 heston=0.31 relerr=0.0070 abserr=0.002 ”
[1] “S=21.75 X=20.00 log(MN)=0.084 tau=0.754 mkt=0.31 heston=0.30 relerr=0.0280 abserr=0.009 ”
[1] “S=21.75 X=22.50 log(MN)=-0.034 tau=0.754 mkt=0.31 heston=0.32 relerr=0.0050 abserr=0.002 ”
[1] “In LMHeston comparison alpha= 0.670220152605893”
[1] “S=21.75 X=17.50 log(MN)=0.217 tau=0.143 mkt=0.00 fracheston=0.33 relerr=4237222458401037.0000 abserr=0.334 ***”
[1] “S=21.75 X=20.00 log(MN)=0.084 tau=0.143 mkt=0.28 fracheston=0.30 relerr=0.0418 abserr=0.012 ”
[1] “S=21.75 X=22.50 log(MN)=-0.034 tau=0.143 mkt=0.30 fracheston=0.30 relerr=0.0001 abserr=0.000 ”
[1] “S=21.75 X=25.00 log(MN)=-0.139 tau=0.143 mkt=0.32 fracheston=0.31 relerr=0.0277 abserr=0.009 ”
[1] “S=21.75 X=15.00 log(MN)=0.372 tau=0.393 mkt=0.29 fracheston=0.37 relerr=0.2600 abserr=0.076 ”
[1] “S=21.75 X=17.50 log(MN)=0.217 tau=0.393 mkt=0.32 fracheston=0.31 relerr=0.0332 abserr=0.011 ”
[1] “S=21.75 X=20.00 log(MN)=0.084 tau=0.393 mkt=0.31 fracheston=0.30 relerr=0.0452 abserr=0.014 ”
[1] “S=21.75 X=22.50 log(MN)=-0.034 tau=0.393 mkt=0.29 fracheston=0.31 relerr=0.0774 abserr=0.022 ”
[1] “S=21.75 X=17.50 log(MN)=0.217 tau=0.754 mkt=0.30 fracheston=0.31 relerr=0.0107 abserr=0.003 ”
[1] “S=21.75 X=20.00 log(MN)=0.084 tau=0.754 mkt=0.31 fracheston=0.31 relerr=0.0145 abserr=0.005 ”
[1] “S=21.75 X=22.50 log(MN)=-0.034 tau=0.754 mkt=0.31 fracheston=0.31 relerr=0.0000 abserr=0.000 ”
[1] “HMN,2002-02-08,2002-02-08,0.0323936624268152,0.0323971212074522,0.999912403904835”
[1] “Stock: CVNS”
[1] “Getting stock vol= CVNS”
[1] “Stock: EXLS”
[1] “Getting stock vol= EXLS”
[1] “alpha= 1.34476709292029”
[1] “Stock: BLT”
[1] “Getting stock vol= BLT”
[1] “alpha= 1.34399980541494”
[1] “rho=-0.81 kappa=0.62 sigma=0.33 v0=0.09 vT=0.16”
[1] “Completed calibration for BLT”
[1] “S=15.35 X=12.50 log(MN)=0.205 tau=0.115 mkt=0.40 heston=0.37 relerr=0.0638 abserr=0.026 ”
[1] “S=15.35 X=15.00 log(MN)=0.023 tau=0.115 mkt=0.28 heston=0.30 relerr=0.0696 abserr=0.020 ”
[1] “S=15.35 X=17.50 log(MN)=-0.131 tau=0.115 mkt=0.34 heston=0.27 relerr=0.2277 abserr=0.078 ”
[1] “S=15.35 X=12.50 log(MN)=0.205 tau=0.254 mkt=0.36 heston=0.36 relerr=0.0113 abserr=0.004 ”
[1] “S=15.35 X=15.00 log(MN)=0.023 tau=0.254 mkt=0.31 heston=0.31 relerr=0.0002 abserr=0.000 ”
[1] “S=15.35 X=17.50 log(MN)=-0.131 tau=0.254 mkt=0.26 heston=0.27 relerr=0.0491 abserr=0.013 ”
[1] “S=15.35 X=12.50 log(MN)=0.205 tau=0.615 mkt=0.37 heston=0.36 relerr=0.0258 abserr=0.010 ”
[1] “S=15.35 X=15.00 log(MN)=0.023 tau=0.615 mkt=0.32 heston=0.32 relerr=0.0055 abserr=0.002 ”
[1] “S=15.35 X=17.50 log(MN)=-0.131 tau=0.615 mkt=0.28 heston=0.28 relerr=0.0001 abserr=0.000 ”
[1] “S=15.35 X=12.50 log(MN)=0.205 tau=0.976 mkt=0.37 heston=0.37 relerr=0.0004 abserr=0.000 ”
[1] “S=15.35 X=15.00 log(MN)=0.023 tau=0.976 mkt=0.32 heston=0.33 relerr=0.0196 abserr=0.006 ”
[1] “S=15.35 X=17.50 log(MN)=-0.131 tau=0.976 mkt=0.30 heston=0.30 relerr=0.0063 abserr=0.002 ”
[1] “In LMHeston comparison alpha= 0.671999902707469”
[1] “S=15.35 X=12.50 log(MN)=0.205 tau=0.115 mkt=0.40 fracheston=0.37 relerr=0.0734 abserr=0.029 ”
[1] “S=15.35 X=15.00 log(MN)=0.023 tau=0.115 mkt=0.28 fracheston=0.29 relerr=0.0348 abserr=0.010 ”
[1] “S=15.35 X=17.50 log(MN)=-0.131 tau=0.115 mkt=0.34 fracheston=0.26 relerr=0.2448 abserr=0.084 ”
[1] “S=15.35 X=12.50 log(MN)=0.205 tau=0.254 mkt=0.36 fracheston=0.36 relerr=0.0064 abserr=0.002 ”
[1] “S=15.35 X=15.00 log(MN)=0.023 tau=0.254 mkt=0.31 fracheston=0.30 relerr=0.0217 abserr=0.007 ”
[1] “S=15.35 X=17.50 log(MN)=-0.131 tau=0.254 mkt=0.26 fracheston=0.27 relerr=0.0365 abserr=0.009 ”
[1] “S=15.35 X=12.50 log(MN)=0.205 tau=0.615 mkt=0.37 fracheston=0.37 relerr=0.0168 abserr=0.006 ”
[1] “S=15.35 X=15.00 log(MN)=0.023 tau=0.615 mkt=0.32 fracheston=0.32 relerr=0.0000 abserr=0.000 ”
[1] “S=15.35 X=17.50 log(MN)=-0.131 tau=0.615 mkt=0.28 fracheston=0.28 relerr=0.0012 abserr=0.000 ”
[1] “S=15.35 X=12.50 log(MN)=0.205 tau=0.976 mkt=0.37 fracheston=0.37 relerr=0.0188 abserr=0.007 ”
[1] “S=15.35 X=15.00 log(MN)=0.023 tau=0.976 mkt=0.32 fracheston=0.33 relerr=0.0246 abserr=0.008 ”
[1] “S=15.35 X=17.50 log(MN)=-0.131 tau=0.976 mkt=0.30 fracheston=0.30 relerr=0.0000 abserr=0.000 ”
[1] “BLT,2005-11-18,2005-11-18,0.013344007384246,0.0136095234362639,0.977537897072647”
[1] “Stock: MR”
[1] “Getting stock vol= MR”
[1] “Stock: BMS”
[1] “Getting stock vol= BMS”
[1] “alpha= 1.34256895496568”
[1] “rho=-0.03 kappa=0.04 sigma=0.14 v0=0.03 vT=0.68”
[1] “Completed calibration for BMS”
[1] “S=51.88 X=40.00 log(MN)=0.260 tau=0.143 mkt=0.00 heston=0.37 relerr=57992031043619936.0000 abserr=0.367 ***”
[1] “S=51.88 X=45.00 log(MN)=0.142 tau=0.143 mkt=0.22 heston=0.23 relerr=0.0168 abserr=0.004 ”
[1] “S=51.88 X=50.00 log(MN)=0.037 tau=0.143 mkt=0.18 heston=0.17 relerr=0.0466 abserr=0.008 ”
[1] “S=51.88 X=55.00 log(MN)=-0.058 tau=0.143 mkt=0.17 heston=0.17 relerr=0.0051 abserr=0.001 ”
[1] “S=51.88 X=35.00 log(MN)=0.394 tau=0.282 mkt=0.31 heston=0.42 relerr=0.3709 abserr=0.114 ***”
[1] “S=51.88 X=40.00 log(MN)=0.260 tau=0.282 mkt=0.28 heston=0.30 relerr=0.0743 abserr=0.021 ”
[1] “S=51.88 X=45.00 log(MN)=0.142 tau=0.282 mkt=0.19 heston=0.21 relerr=0.0779 abserr=0.015 ”
[1] “S=51.88 X=50.00 log(MN)=0.037 tau=0.282 mkt=0.18 heston=0.18 relerr=0.0109 abserr=0.002 ”
[1] “S=51.88 X=55.00 log(MN)=-0.058 tau=0.282 mkt=0.17 heston=0.17 relerr=0.0342 abserr=0.006 ”
[1] “S=51.88 X=60.00 log(MN)=-0.145 tau=0.282 mkt=0.17 heston=0.17 relerr=0.0001 abserr=0.000 ”
[1] “S=51.88 X=45.00 log(MN)=0.142 tau=0.643 mkt=0.21 heston=0.21 relerr=0.0009 abserr=0.000 ”
[1] “S=51.88 X=50.00 log(MN)=0.037 tau=0.643 mkt=0.20 heston=0.19 relerr=0.0125 abserr=0.002 ”
[1] “S=51.88 X=55.00 log(MN)=-0.058 tau=0.643 mkt=0.19 heston=0.19 relerr=0.0012 abserr=0.000 ”
[1] “S=51.88 X=60.00 log(MN)=-0.145 tau=0.643 mkt=0.18 heston=0.19 relerr=0.0578 abserr=0.010 ”
[1] “In LMHeston comparison alpha= 0.67128447748284”
[1] “S=51.88 X=40.00 log(MN)=0.260 tau=0.143 mkt=0.00 fracheston=0.37 relerr=57992068224723928.0000 abserr=0.367 ***”
[1] “S=51.88 X=45.00 log(MN)=0.142 tau=0.143 mkt=0.22 fracheston=0.23 relerr=0.0183 abserr=0.004 ”
[1] “S=51.88 X=50.00 log(MN)=0.037 tau=0.143 mkt=0.18 fracheston=0.17 relerr=0.0390 abserr=0.007 ”
[1] “S=51.88 X=55.00 log(MN)=-0.058 tau=0.143 mkt=0.17 fracheston=0.17 relerr=0.0000 abserr=0.000 ”
[1] “S=51.88 X=35.00 log(MN)=0.394 tau=0.282 mkt=0.31 fracheston=0.42 relerr=0.3709 abserr=0.114 ”
[1] “S=51.88 X=40.00 log(MN)=0.260 tau=0.282 mkt=0.28 fracheston=0.30 relerr=0.0744 abserr=0.021 ”
[1] “S=51.88 X=45.00 log(MN)=0.142 tau=0.282 mkt=0.19 fracheston=0.21 relerr=0.0827 abserr=0.016 ”
[1] “S=51.88 X=50.00 log(MN)=0.037 tau=0.282 mkt=0.18 fracheston=0.18 relerr=0.0016 abserr=0.000 ”
[1] “S=51.88 X=55.00 log(MN)=-0.058 tau=0.282 mkt=0.17 fracheston=0.17 relerr=0.0414 abserr=0.007 ”
[1] “S=51.88 X=60.00 log(MN)=-0.145 tau=0.282 mkt=0.17 fracheston=0.17 relerr=0.0005 abserr=0.000 ”
[1] “S=51.88 X=45.00 log(MN)=0.142 tau=0.643 mkt=0.21 fracheston=0.21 relerr=0.0007 abserr=0.000 ”
[1] “S=51.88 X=50.00 log(MN)=0.037 tau=0.643 mkt=0.20 fracheston=0.19 relerr=0.0113 abserr=0.002 ”
[1] “S=51.88 X=55.00 log(MN)=-0.058 tau=0.643 mkt=0.19 fracheston=0.19 relerr=0.0001 abserr=0.000 ”
[1] “S=51.88 X=60.00 log(MN)=-0.145 tau=0.643 mkt=0.18 fracheston=0.19 relerr=0.0515 abserr=0.009 ”
[1] “BMS,2002-02-08,2002-02-08,0.0323497856265996,0.0321729036887422,0.995481579459067”
[1] “Stock: CNQR”
[1] “Getting stock vol= CNQR”
[1] “alpha= 1.34506461360647”
[1] “rho=-0.52 kappa=0.06 sigma=0.48 v0=0.25 vT=0.21”
[1] “Completed calibration for CNQR”
[1] “S=13.08 X=7.50 log(MN)=0.556 tau=0.155 mkt=0.00 heston=0.71 relerr=16062541613452266.0000 abserr=0.713 ***”
[1] “S=13.08 X=10.00 log(MN)=0.268 tau=0.155 mkt=0.55 heston=0.55 relerr=0.0061 abserr=0.003 ”
[1] “S=13.08 X=12.50 log(MN)=0.045 tau=0.155 mkt=0.53 heston=0.51 relerr=0.0472 abserr=0.025 ”
[1] “S=13.08 X=15.00 log(MN)=-0.137 tau=0.155 mkt=0.53 heston=0.48 relerr=0.0989 abserr=0.053 ”
[1] “S=13.08 X=7.50 log(MN)=0.556 tau=0.294 mkt=0.65 heston=0.64 relerr=0.0249 abserr=0.016 ”
[1] “S=13.08 X=10.00 log(MN)=0.268 tau=0.294 mkt=0.54 heston=0.54 relerr=0.0001 abserr=0.000 ”
[1] “S=13.08 X=12.50 log(MN)=0.045 tau=0.294 mkt=0.50 heston=0.50 relerr=0.0114 abserr=0.006 ”
[1] “S=13.08 X=15.00 log(MN)=-0.137 tau=0.294 mkt=0.48 heston=0.48 relerr=0.0016 abserr=0.001 ”
[1] “S=13.08 X=7.50 log(MN)=0.556 tau=0.655 mkt=0.61 heston=0.60 relerr=0.0089 abserr=0.005 ”
[1] “S=13.08 X=10.00 log(MN)=0.268 tau=0.655 mkt=0.52 heston=0.54 relerr=0.0363 abserr=0.019 ”
[1] “S=13.08 X=12.50 log(MN)=0.045 tau=0.655 mkt=0.52 heston=0.50 relerr=0.0384 abserr=0.020 ”
[1] “S=13.08 X=15.00 log(MN)=-0.137 tau=0.655 mkt=0.47 heston=0.47 relerr=0.0000 abserr=0.000 ”
[1] “In LMHeston comparison alpha= 0.672532306803233”
[1] “S=13.08 X=7.50 log(MN)=0.556 tau=0.155 mkt=0.00 fracheston=0.71 relerr=16071266589065594.0000 abserr=0.713 ***”
[1] “S=13.08 X=10.00 log(MN)=0.268 tau=0.155 mkt=0.55 fracheston=0.55 relerr=0.0035 abserr=0.002 ”
[1] “S=13.08 X=12.50 log(MN)=0.045 tau=0.155 mkt=0.53 fracheston=0.51 relerr=0.0455 abserr=0.024 ”
[1] “S=13.08 X=15.00 log(MN)=-0.137 tau=0.155 mkt=0.53 fracheston=0.48 relerr=0.0977 abserr=0.052 ”
[1] “S=13.08 X=7.50 log(MN)=0.556 tau=0.294 mkt=0.65 fracheston=0.64 relerr=0.0235 abserr=0.015 ”
[1] “S=13.08 X=10.00 log(MN)=0.268 tau=0.294 mkt=0.54 fracheston=0.55 relerr=0.0021 abserr=0.001 ”
[1] “S=13.08 X=12.50 log(MN)=0.045 tau=0.294 mkt=0.50 fracheston=0.50 relerr=0.0131 abserr=0.007 ”
[1] “S=13.08 X=15.00 log(MN)=-0.137 tau=0.294 mkt=0.48 fracheston=0.48 relerr=0.0027 abserr=0.001 ”
[1] “S=13.08 X=7.50 log(MN)=0.556 tau=0.655 mkt=0.61 fracheston=0.60 relerr=0.0066 abserr=0.004 ”
[1] “S=13.08 X=10.00 log(MN)=0.268 tau=0.655 mkt=0.52 fracheston=0.54 relerr=0.0384 abserr=0.020 ”
[1] “S=13.08 X=12.50 log(MN)=0.045 tau=0.655 mkt=0.52 fracheston=0.50 relerr=0.0373 abserr=0.019 ”
[1] “S=13.08 X=15.00 log(MN)=-0.137 tau=0.655 mkt=0.47 fracheston=0.47 relerr=0.0000 abserr=0.000 ”
[1] “CNQR,2003-09-09,2003-09-09,0.0537927241390887,0.0536695096943245,0.998436771539088”
[1] “Stock: FOX”
[1] “Getting stock vol= FOX”
[1] “alpha= 1.33731721651926”
[1] “rho=-0.64 kappa=0.30 sigma=0.34 v0=0.13 vT=0.26”
[1] “Completed calibration for FOX”
[1] “S=21.25 X=17.50 log(MN)=0.194 tau=0.143 mkt=0.41 heston=0.41 relerr=0.0052 abserr=0.002 ”
[1] “S=21.25 X=20.00 log(MN)=0.061 tau=0.143 mkt=0.37 heston=0.38 relerr=0.0253 abserr=0.009 ”
[1] “S=21.25 X=22.50 log(MN)=-0.057 tau=0.143 mkt=0.36 heston=0.36 relerr=0.0192 abserr=0.007 ”
[1] “S=21.25 X=25.00 log(MN)=-0.163 tau=0.143 mkt=0.33 heston=0.34 relerr=0.0405 abserr=0.013 ”
[1] “S=21.25 X=15.00 log(MN)=0.348 tau=0.282 mkt=0.51 heston=0.46 relerr=0.0831 abserr=0.042 ”
[1] “S=21.25 X=17.50 log(MN)=0.194 tau=0.282 mkt=0.42 heston=0.41 relerr=0.0314 abserr=0.013 ”
[1] “S=21.25 X=20.00 log(MN)=0.061 tau=0.282 mkt=0.38 heston=0.38 relerr=0.0022 abserr=0.001 ”
[1] “S=21.25 X=22.50 log(MN)=-0.057 tau=0.282 mkt=0.37 heston=0.36 relerr=0.0391 abserr=0.015 ”
[1] “S=21.25 X=25.00 log(MN)=-0.163 tau=0.282 mkt=0.34 heston=0.34 relerr=0.0001 abserr=0.000 ”
[1] “S=21.25 X=30.00 log(MN)=-0.345 tau=0.282 mkt=0.41 heston=0.32 relerr=0.2140 abserr=0.087 ”
[1] “S=21.25 X=17.50 log(MN)=0.194 tau=0.643 mkt=0.41 heston=0.41 relerr=0.0050 abserr=0.002 ”
[1] “S=21.25 X=20.00 log(MN)=0.061 tau=0.643 mkt=0.38 heston=0.39 relerr=0.0192 abserr=0.007 ”
[1] “S=21.25 X=22.50 log(MN)=-0.057 tau=0.643 mkt=0.36 heston=0.37 relerr=0.0178 abserr=0.006 ”
[1] “S=21.25 X=25.00 log(MN)=-0.163 tau=0.643 mkt=0.36 heston=0.35 relerr=0.0261 abserr=0.009 ”
[1] “S=21.25 X=30.00 log(MN)=-0.345 tau=0.643 mkt=0.32 heston=0.33 relerr=0.0088 abserr=0.003 ”
[1] “In LMHeston comparison alpha= 0.668658608259628”
[1] “S=21.25 X=17.50 log(MN)=0.194 tau=0.143 mkt=0.41 fracheston=0.41 relerr=0.0000 abserr=0.000 ”
[1] “S=21.25 X=20.00 log(MN)=0.061 tau=0.143 mkt=0.37 fracheston=0.38 relerr=0.0253 abserr=0.009 ”
[1] “S=21.25 X=22.50 log(MN)=-0.057 tau=0.143 mkt=0.36 fracheston=0.36 relerr=0.0195 abserr=0.007 ”
[1] “S=21.25 X=25.00 log(MN)=-0.163 tau=0.143 mkt=0.33 fracheston=0.34 relerr=0.0500 abserr=0.016 ”
[1] “S=21.25 X=15.00 log(MN)=0.348 tau=0.282 mkt=0.51 fracheston=0.46 relerr=0.0830 abserr=0.042 ”
[1] “S=21.25 X=17.50 log(MN)=0.194 tau=0.282 mkt=0.42 fracheston=0.41 relerr=0.0270 abserr=0.011 ”
[1] “S=21.25 X=20.00 log(MN)=0.061 tau=0.282 mkt=0.38 fracheston=0.38 relerr=0.0000 abserr=0.000 ”
[1] “S=21.25 X=22.50 log(MN)=-0.057 tau=0.282 mkt=0.37 fracheston=0.36 relerr=0.0428 abserr=0.016 ”
[1] “S=21.25 X=25.00 log(MN)=-0.163 tau=0.282 mkt=0.34 fracheston=0.34 relerr=0.0044 abserr=0.002 ”
[1] “S=21.25 X=30.00 log(MN)=-0.345 tau=0.282 mkt=0.41 fracheston=0.33 relerr=0.1750 abserr=0.071 ”
[1] “S=21.25 X=17.50 log(MN)=0.194 tau=0.643 mkt=0.41 fracheston=0.41 relerr=0.0023 abserr=0.001 ”
[1] “S=21.25 X=20.00 log(MN)=0.061 tau=0.643 mkt=0.38 fracheston=0.38 relerr=0.0061 abserr=0.002 ”
[1] “S=21.25 X=22.50 log(MN)=-0.057 tau=0.643 mkt=0.36 fracheston=0.36 relerr=0.0005 abserr=0.000 ”
[1] “S=21.25 X=25.00 log(MN)=-0.163 tau=0.643 mkt=0.36 fracheston=0.35 relerr=0.0387 abserr=0.014 ”
[1] “S=21.25 X=30.00 log(MN)=-0.345 tau=0.643 mkt=0.32 fracheston=0.34 relerr=0.0372 abserr=0.012 ”
[1] “FOX,2002-02-08,2002-02-08,0.0108642305597736,0.0102048249206596,0.91313766982794”
[1] “Stock: JRCC”
[1] “Getting stock vol= JRCC”
[1] “Stock: CYTR”
[1] “Getting stock vol= CYTR”
[1] “alpha= 1.34114011958842”
[1] “Stock: PM”
[1] “Getting stock vol= PM”
[1] “alpha= 1.3418607427716”
[1] “rho=-0.57 kappa=0.19 sigma=0.43 v0=0.05 vT=0.31”
[1] “Completed calibration for PM”
[1] “S=50.58 X=40.00 log(MN)=0.235 tau=0.183 mkt=0.34 heston=0.34 relerr=0.0035 abserr=0.001 ”
[1] “S=50.58 X=45.00 log(MN)=0.117 tau=0.183 mkt=0.29 heston=0.27 relerr=0.0602 abserr=0.017 ”
[1] “S=50.58 X=50.00 log(MN)=0.012 tau=0.183 mkt=0.23 heston=0.23 relerr=0.0007 abserr=0.000 ”
[1] “S=50.58 X=55.00 log(MN)=-0.084 tau=0.183 mkt=0.22 heston=0.20 relerr=0.0513 abserr=0.011 ”
[1] “S=50.58 X=60.00 log(MN)=-0.171 tau=0.183 mkt=0.23 heston=0.20 relerr=0.1683 abserr=0.039 ”
[1] “S=50.58 X=65.00 log(MN)=-0.251 tau=0.183 mkt=0.28 heston=0.19 relerr=0.3159 abserr=0.090 ”
[1] “S=50.58 X=40.00 log(MN)=0.235 tau=0.321 mkt=0.32 heston=0.32 relerr=0.0186 abserr=0.006 ”
[1] “S=50.58 X=45.00 log(MN)=0.117 tau=0.321 mkt=0.27 heston=0.27 relerr=0.0018 abserr=0.001 ”
[1] “S=50.58 X=50.00 log(MN)=0.012 tau=0.321 mkt=0.23 heston=0.24 relerr=0.0164 abserr=0.004 ”
[1] “S=50.58 X=55.00 log(MN)=-0.084 tau=0.321 mkt=0.21 heston=0.21 relerr=0.0076 abserr=0.002 ”
[1] “S=50.58 X=60.00 log(MN)=-0.171 tau=0.321 mkt=0.20 heston=0.20 relerr=0.0009 abserr=0.000 ”
[1] “S=50.58 X=65.00 log(MN)=-0.251 tau=0.321 mkt=0.24 heston=0.20 relerr=0.1747 abserr=0.042 ”
[1] “S=50.58 X=40.00 log(MN)=0.235 tau=0.683 mkt=0.26 heston=0.32 relerr=0.2379 abserr=0.061 ”
[1] “S=50.58 X=45.00 log(MN)=0.117 tau=0.683 mkt=0.23 heston=0.28 relerr=0.2034 abserr=0.047 ”
[1] “S=50.58 X=50.00 log(MN)=0.012 tau=0.683 mkt=0.22 heston=0.25 relerr=0.1486 abserr=0.032 ”
[1] “S=50.58 X=55.00 log(MN)=-0.084 tau=0.683 mkt=0.21 heston=0.22 relerr=0.0759 abserr=0.016 ”
[1] “S=50.58 X=60.00 log(MN)=-0.171 tau=0.683 mkt=0.19 heston=0.21 relerr=0.0869 abserr=0.017 ”
[1] “S=50.58 X=65.00 log(MN)=-0.251 tau=0.683 mkt=0.21 heston=0.21 relerr=0.0108 abserr=0.002 ”
[1] “In LMHeston comparison alpha= 0.670930371385801”
[1] “S=50.58 X=40.00 log(MN)=0.235 tau=0.183 mkt=0.34 fracheston=0.36 relerr=0.0605 abserr=0.020 ”
[1] “S=50.58 X=45.00 log(MN)=0.117 tau=0.183 mkt=0.29 fracheston=0.29 relerr=0.0091 abserr=0.003 ”
[1] “S=50.58 X=50.00 log(MN)=0.012 tau=0.183 mkt=0.23 fracheston=0.24 relerr=0.0414 abserr=0.010 ”
[1] “S=50.58 X=55.00 log(MN)=-0.084 tau=0.183 mkt=0.22 fracheston=0.21 relerr=0.0216 abserr=0.005 ”
[1] “S=50.58 X=60.00 log(MN)=-0.171 tau=0.183 mkt=0.23 fracheston=0.21 relerr=0.1013 abserr=0.024 ”
[1] “S=50.58 X=65.00 log(MN)=-0.251 tau=0.183 mkt=0.28 fracheston=0.22 relerr=0.2255 abserr=0.064 ”
[1] “S=50.58 X=40.00 log(MN)=0.235 tau=0.321 mkt=0.32 fracheston=0.34 relerr=0.0784 abserr=0.025 ”
[1] “S=50.58 X=45.00 log(MN)=0.117 tau=0.321 mkt=0.27 fracheston=0.28 relerr=0.0431 abserr=0.012 ”
[1] “S=50.58 X=50.00 log(MN)=0.012 tau=0.321 mkt=0.23 fracheston=0.23 relerr=0.0047 abserr=0.001 ”
[1] “S=50.58 X=55.00 log(MN)=-0.084 tau=0.321 mkt=0.21 fracheston=0.20 relerr=0.0374 abserr=0.008 ”
[1] “S=50.58 X=60.00 log(MN)=-0.171 tau=0.321 mkt=0.20 fracheston=0.21 relerr=0.0348 abserr=0.007 ”
[1] “S=50.58 X=65.00 log(MN)=-0.251 tau=0.321 mkt=0.24 fracheston=0.22 relerr=0.0995 abserr=0.024 ”
[1] “S=50.58 X=40.00 log(MN)=0.235 tau=0.683 mkt=0.26 fracheston=0.32 relerr=0.2456 abserr=0.063 ”
[1] “S=50.58 X=45.00 log(MN)=0.117 tau=0.683 mkt=0.23 fracheston=0.25 relerr=0.0688 abserr=0.016 ”
[1] “S=50.58 X=50.00 log(MN)=0.012 tau=0.683 mkt=0.22 fracheston=0.22 relerr=0.0042 abserr=0.001 ”
[1] “S=50.58 X=55.00 log(MN)=-0.084 tau=0.683 mkt=0.21 fracheston=0.19 relerr=0.0933 abserr=0.019 ”
[1] “S=50.58 X=60.00 log(MN)=-0.171 tau=0.683 mkt=0.19 fracheston=0.19 relerr=0.0075 abserr=0.001 ”
[1] “S=50.58 X=65.00 log(MN)=-0.251 tau=0.683 mkt=0.21 fracheston=0.21 relerr=0.0018 abserr=0.000 ”
[1] “PM,2008-04-01,2008-04-01,0.016188576054901,0.0126127170518933,0.561419698915471”

​IMPLEMENTATION OF THE ZULF MODEL:

callLMHestoncf<-function (S, X, tau, r, q, v0, vT, rho, k, sigma, alpha, implVol = FALSE)
{
if (sigma < 0.01)
sigma <- 0.01
P1 <- function(om, S, X, tau, r, q, v0, vT, rho, k, sigma) {
p <- Re(exp(-(0+1i) * log(X) * om) * cfHestonLM(om – (0+1i),
S, tau, r, q, v0, vT, rho, k, sigma)/((0+1i) * om *
S * exp((r – q) * tau)))
p
}
P2 <- function(om, S, X, tau, r, q, v0, vT, rho, k, sigma) {
p <- Re(exp(-(0+1i) * log(X) * om) * cfHestonLM(om, S,
tau, r, q, v0, vT, rho, k, sigma)/((0+1i) * om))
p
}
cfHestonLM <- function(om, S, tau, r, q, v0, vT, rho, k, sigma) {
timescale<-1.0
mlfterm<-python.call(“mlf”,-k*(timescale*tau)^alpha,alpha,1.0)

d <- sqrt((rho * sigma * (0+1i) * om – k)^2 + sigma^2 *
((0+1i) * om + om^2))
g <- (k – rho * sigma * (0+1i) * om – d)/(k – rho * sigma *
(0+1i) * om + d)
cf1 <- (0+1i) * om * (log(S) + (r – q) * tau)
cf2 <- vT * k/(sigma^2) * ((k – rho * sigma * (0+1i) *
om – d) * tau – 2 * log((1 – g * exp(-d * tau))/(1 –
g)))
cf3 <- v0/sigma^2 * (k – rho * sigma * (0+1i) * om –
d) * (1 – exp(-d * tau))/(1 – g * exp(-d * tau))

cf3<-cf3/mlfterm
cf <- exp(cf1 + cf2 + cf3)
cf
}
if (implVol) {
diffPrice <- function(vol, call, S, X, tau, r, q) {
d1 <- (log(S/X) + (r – q + vol^2/2) * tau)/(vol *
sqrt(tau))
d2 <- d1 – vol * sqrt(tau)
callBSM <- S * exp(-q * tau) * pnorm(d1) – X * exp(-r *
tau) * pnorm(d2)
call – callBSM
}
impliedVol <- uniroot(diffPrice, interval = c(1e-04,
2), call = result, S = S, X = X, tau = tau, r = r,
q = q)[[1L]]
result <- list(value = result, impliedVol = impliedVol)
}
result
}

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Subject: THE ZULF OPTION PRICING MODEL: CLOSED FORM LONG MEMORY STOCHASTIC
VOLATILITY SUPERIOR TO HESTON MODEL
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petrov@fma.if.usp.br, pgaraud@soe.ucsc.edu, pikhurko@andrew.cmu.edu,
pilchman@ucsc.edu, pisztora@andrew.cmu.edu, piza@fma.if.usp.br,
pjguerns@ucsc.edu, pmarkell@uchicago.edu, profkatz@gmail.com,
profumo@scipp.ucsc.edu, pshekhar@andrew.cmu.edu, pstojan2@jhu.edu,
pvisser@uchicago.edu, randersn@interchange.ubc.ca, rasha.emara@guc.edu.eg,
rballari@interchange.ubc.ca, rbett1@jhu.edu, rblock@andrew.cmu.edu,
rbriere@andrew.cmu.edu, rcarroll@andrew.cmu.edu, rch@pha.jhu.edu,
rclegg@illinois.edu, rcroft@andrew.cmu.edu, rcummins@illinois.edu,
reichst@math.ubc.ca, rf51@cmu.edu, rfroese@math.ubc.ca, rgil@andrew.cmu.edu,
rgleigh@illinois.edu, rgoel@uchicago.edu, rha@ucsc.edu, richer@astro.ubc.ca,
rjasnow@jhu.edu, rjohnson@scipp.ucsc.edu, rk1t@andrew.cmu.edu,
rkelanic@uchicago.edu, rkraut1@northwestern.edu, rm1o@andrew.cmu.edu,
rm5g@andrew.cmu.edu, rmedelstein@gmail.com, robilotta@dfn.if.usp.br,
robtg@ucsc.edu, rolfsen@math.ubc.ca, ronan@jhu.edu, rongchao@andrew.cmu.edu,
rose@phas.ubc.ca, roth99@illinois.edu, rscherba@ucsc.edu, rshd@uchicago.edu,
rstewart@andrew.cmu.edu, russg@illinois.edu, rutesacate@uem.mz,
ruthrichardmoore@comcast.net, rvribas@dfn.if.usp.br, rwestb@jhu.edu,
ryan5@jhu.edu, ryanbdoran@northwestern.edu, s-ebelsduggan@northwestern.edu,
Shelley Anna <sanna@andrew.cmu.edu>, sara@cmu.edu, savitt@interchange.ubc.ca,
sbatiuk1@jhu.edu, sbchavel@uchicago.edu, russ@cmphys.phys.cmu.edu,
sberrym@interchange.ubc.ca, sbevel@uchicago.edu, scheines@cmu.edu,
schneider@cmu.edu, schoetzau@math.ubc.ca, schonbek@ucsc.edu,
schulten@illinois.edu, schumacher@ernest.phys.cmu.edu, scoopbd@gmail.com,
sdasgup2@ucsc.edu, sef@cs.cmu.edu, sej@uchicago.edu, selvin@illinois.edu,
sendsen@cmu.edu, serrede@illinois.edu, sethmayer2014@northwestern.edu,
sev@uchicago.edu, sfenner@uchicago.edu, sfli@andrew.cmu.edu,
sg23@andrew.cmu.edu, sgalloway@uchicago.edu, sgm@uchicago.edu,
sgraul@andrew.cmu.edu, sgross11@jhu.edu, shlomo@andrew.cmu.edu,
David Shwayder <shwayder@illinois.edu>, sieg@cmu.edu, simchen@interchange.ubc.ca,
simons@andrew.cmu.edu, sisotani@fge.if.usp.br, skoplik1@jhu.edu,
slcooper@illinois.edu, james P <strivergreen@gmail.com>, bm@falconfone.com
Content-Type: multipart/mixed; boundary=001a1143e542a20631052e1f9a11

—– Message truncated —–

5:29 PM (3 hours ago)

 to me
Delivery to the following recipient failed permanently:

mghartlie@hotmail.com

Technical details of permanent failure:
Google tried to deliver your message, but it was rejected by the server for the recipient domain hotmail.com by mx3.hotmail.com. [65.55.33.135].

The error that the other server returned was:
550 Requested action not taken: mailbox unavailable

—– Original message —–

DKIM-Signature: v=1; a=rsa-sha256; c=relaxed/relaxed;
d=gmail.com; s=20120113;
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—– Message truncated —–

5:29 PM (3 hours ago)

 to me
Delivery to the following recipient failed permanently:

lskarsga@bccancer.bc.ca

Technical details of permanent failure:
Google tried to deliver your message, but it was rejected by the server for the recipient domain bccancer.bc.ca by mail2.cw.bc.ca. [207.23.159.180].

The error that the other server returned was:

—– Original message —–

DKIM-Signature: v=1; a=rsa-sha256; c=relaxed/relaxed;
d=gmail.com; s=20120113;
h=mime-version:date:message-id:subject:from:to;
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d=1e100.net; s=20130820;
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sAuw==

—– Message truncated —–

5:29 PM (3 hours ago)

 to me
Translate message
Turn off for: French
Delivery to the following recipient failed permanently:

jperuma1@jhu.edu

Technical details of permanent failure:
Google tried to deliver your message, but it was rejected by the server for the recipient domain jhu.edu by smtp.johnshopkins.edu. [128.220.38.15].

The error that the other server returned was:

—– Original message —–

DKIM-Signature: v=1; a=rsa-sha256; c=relaxed/relaxed;
d=gmail.com; s=20120113;
h=mime-version:date:message-id:subject:from:to;
bh=8fIx3VL1smziNmWxCTWePnrIDymUTCZ7rnx/zzF9BcI=;
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D4xg==
d=1e100.net; s=20130820;
h=x-gm-message-state:mime-version:date:message-id:subject:from:to;
bh=8fIx3VL1smziNmWxCTWePnrIDymUTCZ7rnx/zzF9BcI=;
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uHSA==

—– Message truncated —–

5:29 PM (3 hours ago)

 to me
Translate message
Turn off for: French
Delivery to the following recipient failed permanently:

—– Message truncated —–

5:29 PM (3 hours ago)

 to me
Delivery to the following recipient failed permanently:

johncrawford53@hotmail.com

Technical details of permanent failure:
Google tried to deliver your message, but it was rejected by the server for the recipient domain hotmail.com by mx3.hotmail.com. [65.55.33.135].

The error that the other server returned was:
550 Requested action not taken: mailbox unavailable

—– Original message —–

DKIM-Signature: v=1; a=rsa-sha256; c=relaxed/relaxed;
d=gmail.com; s=20120113;
h=mime-version:date:message-id:subject:from:to;
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D4xg==
d=1e100.net; s=20130820;
h=x-gm-message-state:mime-version:date:message-id:subject:from:to;
bh=8fIx3VL1smziNmWxCTWePnrIDymUTCZ7rnx/zzF9BcI=;
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daaQ==

—– Message truncated —–

5:29 PM (3 hours ago)

 to me
Translate message
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Delivery to the following recipient failed permanently:

sbatiuk1@jhu.edu

Technical details of permanent failure:
Google tried to deliver your message, but it was rejected by the server for the recipient domain jhu.edu by smtp.johnshopkins.edu. [128.220.38.15].

The error that the other server returned was:

—– Original message —–

DKIM-Signature: v=1; a=rsa-sha256; c=relaxed/relaxed;
d=gmail.com; s=20120113;
h=mime-version:date:message-id:subject:from:to;
bh=8fIx3VL1smziNmWxCTWePnrIDymUTCZ7rnx/zzF9BcI=;
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D4xg==
d=1e100.net; s=20130820;
h=x-gm-message-state:mime-version:date:message-id:subject:from:to;
bh=8fIx3VL1smziNmWxCTWePnrIDymUTCZ7rnx/zzF9BcI=;
b=HYBFPtSC8mQyVHSPUxkw3s9KbI3ReozoMVGzV4lOILMXJYH4Vkxj0GfrdRKBDvBKSy
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uHSA==

—– Message truncated —–

5:29 PM (3 hours ago)

 to me
Translate message
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Delivery to the following recipient failed permanently:

sethmayer2014@northwestern.edu

Technical details of permanent failure:
Google tried to deliver your message, but it was rejected by the server for the recipient domain northwestern.edu by chcspsym3.ads.northwestern.edu. [129.105.238.75].

The error that the other server returned was:
550 5.1.1 Recipient address rejected: User unknown

—– Original message —–

DKIM-Signature: v=1; a=rsa-sha256; c=relaxed/relaxed;
d=gmail.com; s=20120113;
h=mime-version:date:message-id:subject:from:to;
bh=8fIx3VL1smziNmWxCTWePnrIDymUTCZ7rnx/zzF9BcI=;
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D4xg==
d=1e100.net; s=20130820;
h=x-gm-message-state:mime-version:date:message-id:subject:from:to;
bh=8fIx3VL1smziNmWxCTWePnrIDymUTCZ7rnx/zzF9BcI=;
b=YzcVsc8aSvzvA69w2/nbo6s3y3R2UC5G9sL3NpuyVkfM7tHPxIycpOG2K0IGKtGLuc
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FHKA==

—– Message truncated —–

5:29 PM (3 hours ago)

 to me
Delivery to the following recipient failed permanently:

mblum@cmu.edu

Technical details of permanent failure:
Google tried to deliver your message, but it was rejected by the server for the recipient domain cmu.edu by cmu-mx-03.andrew.cmu.edu. [128.2.155.68].

The error that the other server returned was:
553 5.3.0 <mblum@cmu.edu>… The email account that you tried to reach does not exist.  Please try double-checking the recipient’s email address for typos or unnecessary spaces.

—– Original message —–

DKIM-Signature: v=1; a=rsa-sha256; c=relaxed/relaxed;
d=gmail.com; s=20120113;
h=mime-version:date:message-id:subject:from:to;
bh=8fIx3VL1smziNmWxCTWePnrIDymUTCZ7rnx/zzF9BcI=;
b=DwahJ8VaFkI+i00p/uCZEJszo0S74udpFJzONzYRh6v4Jd+UCXBUVmrFiut2wzUYrI
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D4xg==
d=1e100.net; s=20130820;
h=x-gm-message-state:mime-version:date:message-id:subject:from:to;
bh=8fIx3VL1smziNmWxCTWePnrIDymUTCZ7rnx/zzF9BcI=;
b=QS4oOvSq6/oVzuv0t+7VGkoU1HbbSfmfvKao7d8MXSMuj/mrautv55f1JMy+WwAtdt
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0S/A==

—– Message truncated —–

5:29 PM (3 hours ago)

 to me
Delivery to the following recipient failed permanently:

peterjludlow@northwestern.edu

Technical details of permanent failure:
Google tried to deliver your message, but it was rejected by the server for the recipient domain northwestern.edu by chcspsym3.ads.northwestern.edu. [129.105.238.75].

The error that the other server returned was:
550 5.1.1 Recipient address rejected: User unknown

—– Original message —–

DKIM-Signature: v=1; a=rsa-sha256; c=relaxed/relaxed;
d=gmail.com; s=20120113;
h=mime-version:date:message-id:subject:from:to;
bh=8fIx3VL1smziNmWxCTWePnrIDymUTCZ7rnx/zzF9BcI=;
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D4xg==
d=1e100.net; s=20130820;
h=x-gm-message-state:mime-version:date:message-id:subject:from:to;
bh=8fIx3VL1smziNmWxCTWePnrIDymUTCZ7rnx/zzF9BcI=;
b=YzcVsc8aSvzvA69w2/nbo6s3y3R2UC5G9sL3NpuyVkfM7tHPxIycpOG2K0IGKtGLuc
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aXiqjYGhPY/WoqYPKgY+EKiTq0jHGlm6nCI6FJmNp02whspqCTqvsdK124d/0IBNlJtC
FHKA==

—– Message truncated —–

5:29 PM (3 hours ago)

 to me
Translate message
Turn off for: Uzbek
Delivery to the following recipient failed permanently:

kdhah@ucsc.edu

Technical details of permanent failure:
Google tried to deliver your message, but it was rejected by the server for the recipient domain ucsc.edu by aspmx.l.google.com. [2607:f8b0:400c:c01::1a].

The error that the other server returned was:
550-5.1.1 The email account that you tried to reach does not exist. Please try
550-5.1.1 double-checking the recipient’s email address for typos or

—– Original message —–

DKIM-Signature: v=1; a=rsa-sha256; c=relaxed/relaxed;
d=gmail.com; s=20120113;
h=mime-version:date:message-id:subject:from:to;
bh=8fIx3VL1smziNmWxCTWePnrIDymUTCZ7rnx/zzF9BcI=;
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D4xg==
d=1e100.net; s=20130820;
h=x-gm-message-state:mime-version:date:message-id:subject:from:to;
bh=8fIx3VL1smziNmWxCTWePnrIDymUTCZ7rnx/zzF9BcI=;
b=TzCoMHJFOL11kOYrBdh358d/LDhyJ7YDc2Jrk7UQTkcm8NMYP0GO88ye6bYPafEhED
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PxdA==

—– Message truncated —–

5:29 PM (3 hours ago)

 to me
Delivery to the following recipient failed permanently:

rmedelstein@gmail.com

Technical details of permanent failure:
Google tried to deliver your message, but it was rejected by the server for the recipient domain gmail.com by gmail-smtp-in.l.google.com. [2607:f8b0:400c:c0a::1a].

The error that the other server returned was:
550-5.1.1 The email account that you tried to reach does not exist. Please try
550-5.1.1 double-checking the recipient’s email address for typos or

—– Original message —–

DKIM-Signature: v=1; a=rsa-sha256; c=relaxed/relaxed;
d=gmail.com; s=20120113;
h=mime-version:date:message-id:subject:from:to;
bh=8fIx3VL1smziNmWxCTWePnrIDymUTCZ7rnx/zzF9BcI=;
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D4xg==
d=1e100.net; s=20130820;
h=x-gm-message-state:mime-version:date:message-id:subject:from:to;
bh=8fIx3VL1smziNmWxCTWePnrIDymUTCZ7rnx/zzF9BcI=;
b=jxjF5OpKJ3FKxXbn1Vp8IYIJtxPh0Q2RWDaL6FzLSJxRBv5aQgNHSwX9fUR2MV5Eqn
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Qfjg==

—– Message truncated —–

5:29 PM (3 hours ago)

 to me
Delivery to the following recipient failed permanently:

sendsen@cmu.edu

Technical details of permanent failure:
Google tried to deliver your message, but it was rejected by the server for the recipient domain cmu.edu by cmu-mx-03.andrew.cmu.edu. [128.2.155.68].

The error that the other server returned was:
553 5.3.0 <mblum@cmu.edu>… The email account that you tried to reach does not exist.  Please try double-checking the recipient’s email address for typos or unnecessary spaces.

—– Original message —–

DKIM-Signature: v=1; a=rsa-sha256; c=relaxed/relaxed;
d=gmail.com; s=20120113;
h=mime-version:date:message-id:subject:from:to;
bh=8fIx3VL1smziNmWxCTWePnrIDymUTCZ7rnx/zzF9BcI=;
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D4xg==
d=1e100.net; s=20130820;
h=x-gm-message-state:mime-version:date:message-id:subject:from:to;
bh=8fIx3VL1smziNmWxCTWePnrIDymUTCZ7rnx/zzF9BcI=;
b=QS4oOvSq6/oVzuv0t+7VGkoU1HbbSfmfvKao7d8MXSMuj/mrautv55f1JMy+WwAtdt
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0S/A==

—– Message truncated —–

5:29 PM (3 hours ago)

 to me
Delivery to the following recipient failed permanently:

—– Message truncated —–

5:29 PM (3 hours ago)

 to me
Translate message
Turn off for: Uzbek
Delivery to the following recipient failed permanently:

o-maksymchuk@northwestern.edu

Technical details of permanent failure:
Google tried to deliver your message, but it was rejected by the server for the recipient domain northwestern.edu by chcspsym3.ads.northwestern.edu. [129.105.238.75].

The error that the other server returned was:
550 5.1.1 Recipient address rejected: User unknown

—– Original message —–

DKIM-Signature: v=1; a=rsa-sha256; c=relaxed/relaxed;
d=gmail.com; s=20120113;
h=mime-version:date:message-id:subject:from:to;
bh=8fIx3VL1smziNmWxCTWePnrIDymUTCZ7rnx/zzF9BcI=;
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D4xg==
d=1e100.net; s=20130820;
h=x-gm-message-state:mime-version:date:message-id:subject:from:to;
bh=8fIx3VL1smziNmWxCTWePnrIDymUTCZ7rnx/zzF9BcI=;
b=YzcVsc8aSvzvA69w2/nbo6s3y3R2UC5G9sL3NpuyVkfM7tHPxIycpOG2K0IGKtGLuc
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FHKA==

—– Message truncated —–

5:29 PM (3 hours ago)

 to me
Translate message
Turn off for: Uzbek
Delivery to the following recipient failed permanently:

—– Message truncated —–

5:29 PM (3 hours ago)

 to me
Delivery to the following recipient failed permanently:

jmetcalf@ucsc.edu

Technical details of permanent failure:
Google tried to deliver your message, but it was rejected by the server for the recipient domain ucsc.edu by aspmx.l.google.com. [2607:f8b0:400c:c01::1a].

The error that the other server returned was:
550-5.1.1 The email account that you tried to reach does not exist. Please try
550-5.1.1 double-checking the recipient’s email address for typos or

—– Original message —–

DKIM-Signature: v=1; a=rsa-sha256; c=relaxed/relaxed;
d=gmail.com; s=20120113;
h=mime-version:date:message-id:subject:from:to;
bh=8fIx3VL1smziNmWxCTWePnrIDymUTCZ7rnx/zzF9BcI=;
b=DwahJ8VaFkI+i00p/uCZEJszo0S74udpFJzONzYRh6v4Jd+UCXBUVmrFiut2wzUYrI
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wL7PvRenlapAsHXLdrtlVERxrUCu166WVt89GVPWra11zQYh6iKTPmLgewq9N0HdYrAb
D4xg==
d=1e100.net; s=20130820;
h=x-gm-message-state:mime-version:date:message-id:subject:from:to;
bh=8fIx3VL1smziNmWxCTWePnrIDymUTCZ7rnx/zzF9BcI=;
b=TzCoMHJFOL11kOYrBdh358d/LDhyJ7YDc2Jrk7UQTkcm8NMYP0GO88ye6bYPafEhED
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ewq3tfUjfQwXiflikuHanz39nn9P5tU97mrTvn+nVeV1zlcdOH9UgHco26MVqYdhkVV3
PxdA==

—– Message truncated —–

5:29 PM (3 hours ago)

 to me
Delivery to the following recipient failed permanently:

—– Message truncated —–

5:29 PM (3 hours ago)

 to me
Delivery to the following recipient failed permanently:

kzollman@cmu.edu

Technical details of permanent failure:
Google tried to deliver your message, but it was rejected by the server for the recipient domain cmu.edu by cmu-mx-03.andrew.cmu.edu. [128.2.155.68].

The error that the other server returned was:
553 5.3.0 <mblum@cmu.edu>… The email account that you tried to reach does not exist.  Please try double-checking the recipient’s email address for typos or unnecessary spaces.

—– Original message —–

DKIM-Signature: v=1; a=rsa-sha256; c=relaxed/relaxed;
d=gmail.com; s=20120113;
h=mime-version:date:message-id:subject:from:to;
bh=8fIx3VL1smziNmWxCTWePnrIDymUTCZ7rnx/zzF9BcI=;
b=DwahJ8VaFkI+i00p/uCZEJszo0S74udpFJzONzYRh6v4Jd+UCXBUVmrFiut2wzUYrI
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386UTwrMqHRGG9n79BcTv+YM3b5DIdYd506bs0cFNnjE19HzJbxD+pGPMR/X26niBhxj
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D4xg==
d=1e100.net; s=20130820;
h=x-gm-message-state:mime-version:date:message-id:subject:from:to;
bh=8fIx3VL1smziNmWxCTWePnrIDymUTCZ7rnx/zzF9BcI=;
b=QS4oOvSq6/oVzuv0t+7VGkoU1HbbSfmfvKao7d8MXSMuj/mrautv55f1JMy+WwAtdt
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MWF5FTr68yDrw/oP22w/DDwoWHNYG/Q14HxYyocpbqbay0k1QSHhZjomN7WhawbgQQR1
0S/A==

—– Message truncated —–

5:29 PM (3 hours ago)

 to me
Delivery to the following recipient failed permanently:

pallab@phas.ubc.ca

Technical details of permanent failure:
Google tried to deliver your message, but it was rejected by the server for the recipient domain phas.ubc.ca by vma.mail-relay.ubc.ca. [142.103.226.211].

The error that the other server returned was:
550 5.1.1 <pallab@phas.ubc.ca>: Recipient address rejected: undeliverable address: host mail.phas.ubc.ca[142.103.236.13] said: 550 5.1.1 <pallab@phas.ubc.ca>… User unknown (in reply to RCPT TO command)

—– Original message —–

DKIM-Signature: v=1; a=rsa-sha256; c=relaxed/relaxed;
d=gmail.com; s=20120113;
h=mime-version:date:message-id:subject:from:to;
bh=8fIx3VL1smziNmWxCTWePnrIDymUTCZ7rnx/zzF9BcI=;
b=DwahJ8VaFkI+i00p/uCZEJszo0S74udpFJzONzYRh6v4Jd+UCXBUVmrFiut2wzUYrI
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386UTwrMqHRGG9n79BcTv+YM3b5DIdYd506bs0cFNnjE19HzJbxD+pGPMR/X26niBhxj
FwuyCWG8Ur2iwFBtsWvTY+Lo1H3+s0lrTcQSyBmUdeAeuoxv3SyO1aVccQacjxwE3+gV
wL7PvRenlapAsHXLdrtlVERxrUCu166WVt89GVPWra11zQYh6iKTPmLgewq9N0HdYrAb
D4xg==
d=1e100.net; s=20130820;
h=x-gm-message-state:mime-version:date:message-id:subject:from:to;
bh=8fIx3VL1smziNmWxCTWePnrIDymUTCZ7rnx/zzF9BcI=;
b=jbQsdntW7DdrwF4NTWFuhcqtJgxpBJS6eHkgl+oTbEeuJqFHzreE+voZIE6QFvPSBn
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X7XWR3julrZ+S6bNPlnwzd0I+C+bNZ/8sXlJ42G2qbB+gR5IOaF6jyvyPmKiM62iOGhH
UMcA==

—– Message truncated —–

5:29 PM (3 hours ago)

 to me
Delivery to the following recipient failed permanently:

jmogel@ucsc.edu

Technical details of permanent failure:
Google tried to deliver your message, but it was rejected by the server for the recipient domain ucsc.edu by aspmx.l.google.com. [2607:f8b0:400c:c01::1a].

The error that the other server returned was:
550-5.1.1 The email account that you tried to reach does not exist. Please try
550-5.1.1 double-checking the recipient’s email address for typos or

—– Original message —–

DKIM-Signature: v=1; a=rsa-sha256; c=relaxed/relaxed;
d=gmail.com; s=20120113;
h=mime-version:date:message-id:subject:from:to;
bh=8fIx3VL1smziNmWxCTWePnrIDymUTCZ7rnx/zzF9BcI=;
b=DwahJ8VaFkI+i00p/uCZEJszo0S74udpFJzONzYRh6v4Jd+UCXBUVmrFiut2wzUYrI
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FwuyCWG8Ur2iwFBtsWvTY+Lo1H3+s0lrTcQSyBmUdeAeuoxv3SyO1aVccQacjxwE3+gV
wL7PvRenlapAsHXLdrtlVERxrUCu166WVt89GVPWra11zQYh6iKTPmLgewq9N0HdYrAb
D4xg==
d=1e100.net; s=20130820;
h=x-gm-message-state:mime-version:date:message-id:subject:from:to;
bh=8fIx3VL1smziNmWxCTWePnrIDymUTCZ7rnx/zzF9BcI=;
b=TzCoMHJFOL11kOYrBdh358d/LDhyJ7YDc2Jrk7UQTkcm8NMYP0GO88ye6bYPafEhED
dY2n3U0d2y7DKEZ4AiIVFhuheCoH0xReoKM1dpODzkFlTrPp7rXs3is3Nteyot/Vj3Cu
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ewq3tfUjfQwXiflikuHanz39nn9P5tU97mrTvn+nVeV1zlcdOH9UgHco26MVqYdhkVV3
PxdA==

—– Message truncated —–

5:29 PM (3 hours ago)

 to me
Translate message
Turn off for: Polish
Delivery to the following recipient failed permanently:

nguyentrh@northwestern.edu

Technical details of permanent failure:
Google tried to deliver your message, but it was rejected by the server for the recipient domain northwestern.edu by chcspsym3.ads.northwestern.edu. [129.105.238.75].

The error that the other server returned was:
550 5.1.1 Recipient address rejected: User unknown

—– Original message —–

DKIM-Signature: v=1; a=rsa-sha256; c=relaxed/relaxed;
d=gmail.com; s=20120113;
h=mime-version:date:message-id:subject:from:to;
bh=8fIx3VL1smziNmWxCTWePnrIDymUTCZ7rnx/zzF9BcI=;
b=DwahJ8VaFkI+i00p/uCZEJszo0S74udpFJzONzYRh6v4Jd+UCXBUVmrFiut2wzUYrI
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386UTwrMqHRGG9n79BcTv+YM3b5DIdYd506bs0cFNnjE19HzJbxD+pGPMR/X26niBhxj
FwuyCWG8Ur2iwFBtsWvTY+Lo1H3+s0lrTcQSyBmUdeAeuoxv3SyO1aVccQacjxwE3+gV
wL7PvRenlapAsHXLdrtlVERxrUCu166WVt89GVPWra11zQYh6iKTPmLgewq9N0HdYrAb
D4xg==
d=1e100.net; s=20130820;
h=x-gm-message-state:mime-version:date:message-id:subject:from:to;
bh=8fIx3VL1smziNmWxCTWePnrIDymUTCZ7rnx/zzF9BcI=;
b=YzcVsc8aSvzvA69w2/nbo6s3y3R2UC5G9sL3NpuyVkfM7tHPxIycpOG2K0IGKtGLuc
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aXiqjYGhPY/WoqYPKgY+EKiTq0jHGlm6nCI6FJmNp02whspqCTqvsdK124d/0IBNlJtC
FHKA==

—– Message truncated —–

5:29 PM (3 hours ago)

 to me
Translate message
Turn off for: Uzbek
Delivery to the following recipient failed permanently:

pilchman@ucsc.edu

Technical details of permanent failure:
Google tried to deliver your message, but it was rejected by the server for the recipient domain ucsc.edu by aspmx.l.google.com. [2607:f8b0:400c:c01::1a].

The error that the other server returned was:
550-5.1.1 The email account that you tried to reach does not exist. Please try
550-5.1.1 double-checking the recipient’s email address for typos or

—– Original message —–

DKIM-Signature: v=1; a=rsa-sha256; c=relaxed/relaxed;
d=gmail.com; s=20120113;
h=mime-version:date:message-id:subject:from:to;
bh=8fIx3VL1smziNmWxCTWePnrIDymUTCZ7rnx/zzF9BcI=;
b=DwahJ8VaFkI+i00p/uCZEJszo0S74udpFJzONzYRh6v4Jd+UCXBUVmrFiut2wzUYrI
boDZUSdS2AKBStzJT0VA/t+s2vDwow9VfN6RlDf4tA8ScuaKgqIjgsMdz65Q0zgcNU6I
386UTwrMqHRGG9n79BcTv+YM3b5DIdYd506bs0cFNnjE19HzJbxD+pGPMR/X26niBhxj
FwuyCWG8Ur2iwFBtsWvTY+Lo1H3+s0lrTcQSyBmUdeAeuoxv3SyO1aVccQacjxwE3+gV
wL7PvRenlapAsHXLdrtlVERxrUCu166WVt89GVPWra11zQYh6iKTPmLgewq9N0HdYrAb
D4xg==
d=1e100.net; s=20130820;
h=x-gm-message-state:mime-version:date:message-id:subject:from:to;
bh=8fIx3VL1smziNmWxCTWePnrIDymUTCZ7rnx/zzF9BcI=;
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PxdA==

—– Message truncated —–

5:29 PM (3 hours ago)

 to me
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5:29 PM (3 hours ago)

 to me
Translate message
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5:29 PM (3 hours ago)

 to me
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5:29 PM (3 hours ago)

 to me
Delivery to the following recipient failed permanently:

jzal@phas.ubc.ca

Technical details of permanent failure:
Google tried to deliver your message, but it was rejected by the server for the recipient domain phas.ubc.ca by vma.mail-relay.ubc.ca. [142.103.226.211].

The error that the other server returned was:
550 5.1.1 <pallab@phas.ubc.ca>: Recipient address rejected: undeliverable address: host mail.phas.ubc.ca[142.103.236.13] said: 550 5.1.1 <pallab@phas.ubc.ca>… User unknown (in reply to RCPT TO command)

—– Original message —–

DKIM-Signature: v=1; a=rsa-sha256; c=relaxed/relaxed;
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UMcA==

—– Message truncated —–

5:29 PM (3 hours ago)

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—– Original message —–

DKIM-Signature: v=1; a=rsa-sha256; c=relaxed/relaxed;
d=gmail.com; s=20120113;
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FHKA==

—– Message truncated —–

5:29 PM (3 hours ago)

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Google tried to deliver your message, but it was rejected by the server for the recipient domain ucsc.edu by aspmx.l.google.com. [2607:f8b0:400c:c01::1a].

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—– Original message —–

DKIM-Signature: v=1; a=rsa-sha256; c=relaxed/relaxed;
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PxdA==

—– Message truncated —–

5:29 PM (3 hours ago)

 to me
Delivery to the following recipient failed permanently:

kelbyharrison@northwestern.edu

Technical details of permanent failure:
Google tried to deliver your message, but it was rejected by the server for the recipient domain northwestern.edu by chcspsym3.ads.northwestern.edu. [129.105.238.75].

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—– Original message —–

DKIM-Signature: v=1; a=rsa-sha256; c=relaxed/relaxed;
d=gmail.com; s=20120113;
h=mime-version:date:message-id:subject:from:to;
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D4xg==
d=1e100.net; s=20130820;
h=x-gm-message-state:mime-version:date:message-id:subject:from:to;
bh=8fIx3VL1smziNmWxCTWePnrIDymUTCZ7rnx/zzF9BcI=;
b=YzcVsc8aSvzvA69w2/nbo6s3y3R2UC5G9sL3NpuyVkfM7tHPxIycpOG2K0IGKtGLuc
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FHKA==

—– Message truncated —–

postmaster@vch.ca

5:29 PM (3 hours ago)

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Message-ID: <CAOKUxJDVe4mFeKTOnrae7XXyB3xzH==_eVj8Qqn6awQpif1AjA@mail.gmail.com>
Subject: THE ZULF OPTION PRICING MODEL: CLOSED FORM LONG MEMORY STOCHASTIC
VOLATILITY SUPERIOR TO HESTON MODEL
From: "zulfikar.ahmed@gmail.com" <zulfikar.ahmed@gmail.com>
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<schneider@cmu.edu>, <schoetzau@math.ubc.ca>, <schonbek@ucsc.edu>,
<schulten@illinois.edu>, <schumacher@ernest.phys.cmu.edu>,
<scoopbd@gmail.com>, <sdasgup2@ucsc.edu>, <sef@cs.cmu.edu>,
<sej@uchicago.edu>, <selvin@illinois.edu>, <sendsen@cmu.edu>,
<serrede@illinois.edu>, <sethmayer2014@northwestern.edu>, <sev@uchicago.edu>,
<sfenner@uchicago.edu>, <sfli@andrew.cmu.edu>, <sg23@andrew.cmu.edu>,
<sgalloway@uchicago.edu>, <sgm@uchicago.edu>, <sgraul@andrew.cmu.edu>,
<sgross11@jhu.edu>, <shlomo@andrew.cmu.edu>, David Shwayder
<shwayder@illinois.edu>, <sieg@cmu.edu>, <simchen@interchange.ubc.ca>,
<simons@andrew.cmu.edu>, <sisotani@fge.if.usp.br>, <skoplik1@jhu.edu>,
<slcooper@illinois.edu>, james P <strivergreen@gmail.com>,
<bm@falconfone.com>
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Return-Path: zulfikar.ahmed@gmail.com
```

Original-Recipient: rfc822;john.aldrich@vch.ca
Final-Recipient: rfc822;john.aldrich@vch.ca
Action: failed
Status: 5.1.1

———- Forwarded message ———-
From: “zulfikar.ahmed@gmail.com” <zulfikar.ahmed@gmail.com>
To: <jfrenkel@fma.if.usp.br>, <jhansen@uchicago.edu>, <jharrington@uchicago.edu>, <jharris@andrew.cmu.edu>, <jhp@uchicago.edu>, <jhricko_4@juno.com>, <jhs@math.ubc.ca>, <jhutasoi@andrew.cmu.edu>, <jianjunp@andrew.cmu.edu>, <jinha@uchicago.edu>, <jjbrehm@uchicago.edu>, <jlind@andrew.cmu.edu>, <jlondon@uchicago.edu>, <jlw@jhu.edu>, <jmateo@uchicago.edu>, <jmerseth@uchicago.edu>, <jmetcalf@ucsc.edu>, <jmg@uchicago.edu>, <jmogel@ucsc.edu>, <joel@scipp.ucsc.edu>, <joelms@andrew.cmu.edu>, <john.aldrich@vch.ca>, <john.beatty@interchange.ubc.ca>, <johncrawford53@hotmail.com>, <jose.oliveira@dfn.if.usp.br>, <josesoto@uem.mz>, <josue@fma.if.usp.br>, <jpadgett@uchicago.edu>, <jpbalz@uchicago.edu>, <jperuma1@jhu.edu>, <jpino@andrew.cmu.edu>, <jpitts@uchicago.edu>, <jpl@stat.cmu.edu>, <jpmccorm@uchicago.edu>, <jr67@andrew.cmu.edu>, <jrsteinb@illinois.edu>, <js5m@andrew.cmu.edu>, <js6n@andrew.cmu.edu>, <jsamuels@ucsc.edu>, <jthome@andrew.cmu.edu>, <julia_krause13@hotmail.com>, <jzal@phas.ubc.ca>, <kang@uchicago.edu>, <karu@math.ubc.ca>, <kbandura@andrew.cmu.edu>, <kboyd@uchicago.edu>, <kculp@midway.uchicago.edu>, <kdhah@ucsc.edu>, <kebelsduggan@northwestern.edu>, <keisha@uchicago.edu>, <keith.miller@bue.edu.eg>, <kelbyharrison@northwestern.edu>, <keshet@math.ubc.ca>, <khaled.alshamouty@guc.edu.eg>, <khan@uchicago.edu>, <khosravi@math.ubc.ca>, <kiefl@triumf.ca>, <kimberleab@yahoo.com>, <kiyohara@fge.if.usp.br>, <kkoch@andrew.cmu.edu>, <klein@andrew.cmu.edu>, <kliu@math.ubc.ca>, <km3b@andrew.cmu.edu>, <kmoriya@andrew.cmu.edu>, <kmortens@ucsc.edu>, <knwoods@cmu.edu>, <konoplya@fma.if.usp.br>, <kouslaa@uchicago.edu>, <kramanan@andrew.cmu.edu>, <kramkov@andrew.cmu.edu>, <ksanders@illinois.edu>, <kunalghosh@cmu.edu>, <kurnikova@cmu.edu>, <kwarman@andrew.cmu.edu>, <kwiat@illinois.edu>, <kxrobert@ucsc.edu>, <kzollman@cmu.edu>, <l-wedeen@uchicago.edu>, <lamy@if.usp.br>, <LauraPapish2010@northwestern.edu>, <laurel@andrew.cmu.edu>, <lberger@andrew.cmu.edu>, <lburkhdl@interchange.ubc.ca>, <lchamon@dfn.if.usp.br>, <lchristo@andrew.cmu.edu>, <lesurea@uchicago.edu>, <levine@psc.edu>, <levineweinberg@uchicago.edu>, <lewis@ucsc.edu>, <lfli@andrew.cmu.edu>, <lievers1@jhu.edu>, <limauro@andrew.cmu.edu>, <lincolnw@andrew.cmu.edu>, <linda.brown@jhu.edu>, <liy@andrew.cmu.edu>, <llinas@andrew.cmu.edu>, <lpalmer@andrew.cmu.edu>, <lskarsga@bccancer.bc.ca>, <lsolum@illinois.edu>, <luxmi@andrew.cmu.edu>, <lvuocolo@andrew.cmu.edu>, <lwright27@jhu.edu>, <m-mullins@northwestern.edu>, <m-nayfeh@illinois.edu>, <m-silverstein@uchicago.edu>, <m-stone5@illinois.edu>, <maclean@math.ubc.ca>, <magro@fma.if.usp.br>, <magyar@math.ubc.ca>, <maishamiss@gmail.com>, <makins@illinois.edu>, <mandal@andrew.cmu.edu>, <marchett@if.usp.br>, <margolis@interchange.ubc.ca>, <martha_nussbaum@uchicago.edu>, <math@math.ubc.ca>, <matsuoka@dfn.if.usp.br>, <mav@physics.ubc.ca>, <maxcherem2012@northwestern.edu>, <maydede@interchange.ubc.ca>, <mbier@andrew.cmu.edu>, <mbloom@uchicago.edu>, <mblum@cmu.edu>, <mbspencer@uchicago.edu>, <mbw@illinois.edu>, <mcdawson@uchicago.edu>, <meierding@uchicago.edu>, <mestre@illinois.edu>, <mfishban@midway.uchicago.edu>, <mfrise@ucsc.edu>, <mg0c@andrew.cmu.edu>, <mghartlie@hotmail.com>, <mgomes@fma.if.usp.br>, <mgp@illinois.edu>, <mgray@andrew.cmu.edu>, <mharrell@cmu.edu>, <mhassan@bue.edu.eg>, <mmuramat@if.usp.br>, <moborski@andrew.cmu.edu>, <mohamed.el-rafie@guc.edu.eg>, <mohammad@andrew.cmu.edu>, <monteiro@uchicago.edu>, <moor302@yahoo.com>, <moore8@andrew.cmu.edu>, <morris@jhu.edu>, <mpato@fma.if.usp.br>, <mriordan@ucsc.edu>, <mund@fma.if.usp.br>, <muthu@uchicago.edu>, <muwenk@andrew.cmu.edu>, <mweems@andrew.cmu.edu>, <mwilliams@jhu.edu>, <n-tarcov@uchicago.edu>, <nadra.sakr@guc.edu.eg>, <nagata@math.ubc.ca>, <narayan@physics.ucsc.edu>, <nassif@math.ubc.ca>, <nbaker@andrew.cmu.edu>, <nelson.carlin@dfn.if.usp.br>, <ness@math.ubc.ca>, <neufeld@pha.jhu.edu>, <nermeen.serag@guc.edu.eg>, <nguyentrh@northwestern.edu>, <nhassoun@andrew.cmu.edu>, <njb@math.ubc.ca>, <nmisra@andrew.cmu.edu>, <noelw@andrew.cmu.edu>, <nsissons@andrew.cmu.edu>, <o-maksymchuk@northwestern.edu>, <ocanter@ucsc.edu>, <oliveira@if.usp.br>, <omar.karam@bue.edu.eg>, <p-deutscher@northwestern.edu>, <pallab@phas.ubc.ca>, Paul Roth <paroth@ucsc.edu>, <passos@fma.if.usp.br>, <patrick.leland@jhu.edu>, <paujaramillo@if.usp.br>, <paulini@cmu.edu>, <pbooke@uchicago.edu>, <pcooke1@andrew.cmu.edu>, <pdelner1@jhu.edu>, <pdf@pha.jhu.edu>, <peirce@math.ubc.ca>, <pengzhen@andrew.cmu.edu>, <perkins@math.ubc.ca>, <peteanu@andrew.cmu.edu>, <peter@physics.ucsc.edu>, <peterjludlow@northwestern.edu>, <peterson@math.ubc.ca>, <petrov@fma.if.usp.br>, <pgaraud@soe.ucsc.edu>, <pikhurko@andrew.cmu.edu>, <pilchman@ucsc.edu>, <pisztora@andrew.cmu.edu>, <piza@fma.if.usp.br>, <pjguerns@ucsc.edu>, <pmarkell@uchicago.edu>, <profkatz@gmail.com>, <profumo@scipp.ucsc.edu>, <pshekhar@andrew.cmu.edu>, <pstojan2@jhu.edu>, <pvisser@uchicago.edu>, <randersn@interchange.ubc.ca>, <rasha.emara@guc.edu.eg>, <rballari@interchange.ubc.ca>, <rbett1@jhu.edu>, <rblock@andrew.cmu.edu>, <rbriere@andrew.cmu.edu>, <rcarroll@andrew.cmu.edu>, <rch@pha.jhu.edu>, <rclegg@illinois.edu>, <rcroft@andrew.cmu.edu>, <rcummins@illinois.edu>, <reichst@math.ubc.ca>, <rf51@cmu.edu>, <rfroese@math.ubc.ca>, <rgil@andrew.cmu.edu>, <rgleigh@illinois.edu>, <rgoel@uchicago.edu>, <rha@ucsc.edu>, <richer@astro.ubc.ca>, <rjasnow@jhu.edu>, <rjohnson@scipp.ucsc.edu>, <rk1t@andrew.cmu.edu>, <rkelanic@uchicago.edu>, <rkraut1@northwestern.edu>, <rm1o@andrew.cmu.edu>, <rm5g@andrew.cmu.edu>, <rmedelstein@gmail.com>, <robilotta@dfn.if.usp.br>, <robtg@ucsc.edu>, <rolfsen@math.ubc.ca>, <ronan@jhu.edu>, <rongchao@andrew.cmu.edu>, <rose@phas.ubc.ca>, <roth99@illinois.edu>, <rscherba@ucsc.edu>, <rshd@uchicago.edu>, <rstewart@andrew.cmu.edu>, <russg@illinois.edu>, <rutesacate@uem.mz>, <ruthrichardmoore@comcast.net>, <rvribas@dfn.if.usp.br>, <rwestb@jhu.edu>, <ryan5@jhu.edu>, <ryanbdoran@northwestern.edu>, <s-ebelsduggan@northwestern.edu>, <safaa.bashir@guc.edu.eg>, <salladin7@aol.com>, <sanchita@gmail.com>, Shelley Anna <sanna@andrew.cmu.edu>, <sara@cmu.edu>, <savitt@interchange.ubc.ca>, <sbatiuk1@jhu.edu>, <sbchavel@uchicago.edu>, <russ@cmphys.phys.cmu.edu>, <sberrym@interchange.ubc.ca>, <sbevel@uchicago.edu>, <scheines@cmu.edu>, <schneider@cmu.edu>, <schoetzau@math.ubc.ca>, <schonbek@ucsc.edu>, <schulten@illinois.edu>, <schumacher@ernest.phys.cmu.edu>, <scoopbd@gmail.com>, <sdasgup2@ucsc.edu>, <sef@cs.cmu.edu>, <sej@uchicago.edu>, <selvin@illinois.edu>, <sendsen@cmu.edu>, <serrede@illinois.edu>, <sethmayer2014@northwestern.edu>, <sev@uchicago.edu>, <sfenner@uchicago.edu>, <sfli@andrew.cmu.edu>, <sg23@andrew.cmu.edu>, <sgalloway@uchicago.edu>, <sgm@uchicago.edu>, <sgraul@andrew.cmu.edu>, <sgross11@jhu.edu>, <shlomo@andrew.cmu.edu>, David Shwayder <shwayder@illinois.edu>, <sieg@cmu.edu>, <simchen@interchange.ubc.ca>, <simons@andrew.cmu.edu>, <sisotani@fge.if.usp.br>, <skoplik1@jhu.edu>, <slade@math.ubc.ca>, <slamb@illinois.edu>, <slater@uchicago.edu>, <slcooper@illinois.edu>, james P <strivergreen@gmail.com>, <bm@falconfone.com>
Cc:
Date: Tue, 15 Mar 2016 17:29:16 -0700
Subject: THE ZULF OPTION PRICING MODEL: CLOSED FORM LONG MEMORY STOCHASTIC VOLATILITY SUPERIOR TO HESTON MODEL

This is the right parsimonious manner that takes into account long memory in stochastic volatility and retains the closed-form solution of Heston model (but is better fit to actual volatility surfaces).

[1] “Getting stock vol= SWK”
[1] “alpha= 1.33926539730736”
[1] “rho=-0.37 kappa=0.11 sigma=0.78 v0=0.07 vT=0.02”
[1] “Completed calibration for SWK”
[1] “S=43.34 X=30.00 log(MN)=0.368 tau=0.143 mkt=0.51 heston=0.50 relerr=0.0228 abserr=0.012 ”
[1] “S=43.34 X=35.00 log(MN)=0.214 tau=0.143 mkt=0.26 heston=0.37 relerr=0.3917 abserr=0.103 ***”
[1] “S=43.34 X=40.00 log(MN)=0.080 tau=0.143 mkt=0.31 heston=0.29 relerr=0.0552 abserr=0.017 ”
[1] “S=43.34 X=45.00 log(MN)=-0.038 tau=0.143 mkt=0.26 heston=0.25 relerr=0.0397 abserr=0.010 ”
[1] “S=43.34 X=50.00 log(MN)=-0.143 tau=0.143 mkt=0.25 heston=0.25 relerr=0.0084 abserr=0.002 ”
[1] “S=43.34 X=30.00 log(MN)=0.368 tau=0.282 mkt=0.44 heston=0.44 relerr=0.0012 abserr=0.001 ”
[1] “S=43.34 X=35.00 log(MN)=0.214 tau=0.282 mkt=0.29 heston=0.35 relerr=0.1853 abserr=0.054 ”
[1] “S=43.34 X=40.00 log(MN)=0.080 tau=0.282 mkt=0.27 heston=0.28 relerr=0.0486 abserr=0.013 ”
[1] “S=43.34 X=45.00 log(MN)=-0.038 tau=0.282 mkt=0.25 heston=0.24 relerr=0.0581 abserr=0.015 ”
[1] “S=43.34 X=50.00 log(MN)=-0.143 tau=0.282 mkt=0.23 heston=0.24 relerr=0.0504 abserr=0.011 ”
[1] “S=43.34 X=30.00 log(MN)=0.368 tau=0.643 mkt=0.33 heston=0.39 relerr=0.1965 abserr=0.065 ”
[1] “S=43.34 X=35.00 log(MN)=0.214 tau=0.643 mkt=0.30 heston=0.32 relerr=0.0677 abserr=0.020 ”
[1] “S=43.34 X=40.00 log(MN)=0.080 tau=0.643 mkt=0.26 heston=0.26 relerr=0.0001 abserr=0.000 ”
[1] “S=43.34 X=45.00 log(MN)=-0.038 tau=0.643 mkt=0.24 heston=0.22 relerr=0.0947 abserr=0.023 ”
[1] “S=43.34 X=50.00 log(MN)=-0.143 tau=0.643 mkt=0.22 heston=0.22 relerr=0.0003 abserr=0.000 ”
[1] “In LMHeston comparison alpha= 0.669632698653682”
[1] “S=43.34 X=30.00 log(MN)=0.368 tau=0.143 mkt=0.51 fracheston=0.50 relerr=0.0382 abserr=0.020 ”
[1] “S=43.34 X=35.00 log(MN)=0.214 tau=0.143 mkt=0.26 fracheston=0.34 relerr=0.2753 abserr=0.072 ”
[1] “S=43.34 X=40.00 log(MN)=0.080 tau=0.143 mkt=0.31 fracheston=0.27 relerr=0.1136 abserr=0.035 ”
[1] “S=43.34 X=45.00 log(MN)=-0.038 tau=0.143 mkt=0.26 fracheston=0.26 relerr=0.0127 abserr=0.003 ”
[1] “S=43.34 X=50.00 log(MN)=-0.143 tau=0.143 mkt=0.25 fracheston=0.25 relerr=0.0001 abserr=0.000 ”
[1] “S=43.34 X=30.00 log(MN)=0.368 tau=0.282 mkt=0.44 fracheston=0.41 relerr=0.0693 abserr=0.030 ”
[1] “S=43.34 X=35.00 log(MN)=0.214 tau=0.282 mkt=0.29 fracheston=0.31 relerr=0.0612 abserr=0.018 ”
[1] “S=43.34 X=40.00 log(MN)=0.080 tau=0.282 mkt=0.27 fracheston=0.27 relerr=0.0020 abserr=0.001 ”
[1] “S=43.34 X=45.00 log(MN)=-0.038 tau=0.282 mkt=0.25 fracheston=0.25 relerr=0.0040 abserr=0.001 ”
[1] “S=43.34 X=50.00 log(MN)=-0.143 tau=0.282 mkt=0.23 fracheston=0.25 relerr=0.0772 abserr=0.018 ”
[1] “S=43.34 X=30.00 log(MN)=0.368 tau=0.643 mkt=0.33 fracheston=0.35 relerr=0.0692 abserr=0.023 ”
[1] “S=43.34 X=35.00 log(MN)=0.214 tau=0.643 mkt=0.30 fracheston=0.29 relerr=0.0254 abserr=0.008 ”
[1] “S=43.34 X=40.00 log(MN)=0.080 tau=0.643 mkt=0.26 fracheston=0.26 relerr=0.0015 abserr=0.000 ”
[1] “S=43.34 X=45.00 log(MN)=-0.038 tau=0.643 mkt=0.24 fracheston=0.24 relerr=0.0001 abserr=0.000 ”
[1] “S=43.34 X=50.00 log(MN)=-0.143 tau=0.643 mkt=0.22 fracheston=0.23 relerr=0.0603 abserr=0.013 ”
[1] “SWK,2002-02-08,2002-02-08,0.0173124389637729,0.0120968470999045,0.477224748284645”
[1] “Stock: SLF”
[1] “Getting stock vol= SLF”
[1] “Stock: Z”
[1] “Getting stock vol= Z”
[1] “alpha= 1.35291607267611”
[1] “rho=-0.82 kappa=0.55 sigma=0.34 v0=0.16 vT=0.21”
[1] “Completed calibration for Z”
[1] “S=15.10 X=12.50 log(MN)=0.189 tau=0.143 mkt=0.51 heston=0.45 relerr=0.1266 abserr=0.065 ”
[1] “S=15.10 X=15.00 log(MN)=0.007 tau=0.143 mkt=0.41 heston=0.40 relerr=0.0113 abserr=0.005 ”
[1] “S=15.10 X=17.50 log(MN)=-0.148 tau=0.143 mkt=0.37 heston=0.37 relerr=0.0003 abserr=0.000 ”
[1] “S=15.10 X=12.50 log(MN)=0.189 tau=0.393 mkt=0.48 heston=0.44 relerr=0.0777 abserr=0.037 ”
[1] “S=15.10 X=15.00 log(MN)=0.007 tau=0.393 mkt=0.39 heston=0.41 relerr=0.0297 abserr=0.012 ”
[1] “S=15.10 X=17.50 log(MN)=-0.148 tau=0.393 mkt=0.36 heston=0.38 relerr=0.0350 abserr=0.013 ”
[1] “S=15.10 X=12.50 log(MN)=0.189 tau=0.754 mkt=0.44 heston=0.44 relerr=0.0124 abserr=0.005 ”
[1] “S=15.10 X=15.00 log(MN)=0.007 tau=0.754 mkt=0.41 heston=0.41 relerr=0.0103 abserr=0.004 ”
[1] “S=15.10 X=17.50 log(MN)=-0.148 tau=0.754 mkt=0.36 heston=0.38 relerr=0.0637 abserr=0.023 ”
[1] “S=15.10 X=5.00 log(MN)=1.105 tau=1.365 mkt=0.71 heston=0.70 relerr=0.0193 abserr=0.014 ”
[1] “S=15.10 X=10.00 log(MN)=0.412 tau=1.365 mkt=0.49 heston=0.49 relerr=0.0020 abserr=0.001 ”
[1] “S=15.10 X=15.00 log(MN)=0.007 tau=1.365 mkt=0.42 heston=0.41 relerr=0.0171 abserr=0.007 ”
[1] “S=15.10 X=10.00 log(MN)=0.412 tau=2.810 mkt=0.48 heston=0.49 relerr=0.0119 abserr=0.006 ”
[1] “S=15.10 X=15.00 log(MN)=0.007 tau=2.810 mkt=0.42 heston=0.42 relerr=0.0004 abserr=0.000 ”
[1] “S=15.10 X=20.00 log(MN)=-0.281 tau=2.810 mkt=0.39 heston=0.38 relerr=0.0176 abserr=0.007 ”
[1] “In LMHeston comparison alpha= 0.676458036338054”
[1] “S=15.10 X=12.50 log(MN)=0.189 tau=0.143 mkt=0.51 fracheston=0.45 relerr=0.1100 abserr=0.056 ”
[1] “S=15.10 X=15.00 log(MN)=0.007 tau=0.143 mkt=0.41 fracheston=0.41 relerr=0.0071 abserr=0.003 ”
[1] “S=15.10 X=17.50 log(MN)=-0.148 tau=0.143 mkt=0.37 fracheston=0.37 relerr=0.0005 abserr=0.000 ”
[1] “S=15.10 X=12.50 log(MN)=0.189 tau=0.393 mkt=0.48 fracheston=0.45 relerr=0.0537 abserr=0.026 ”
[1] “S=15.10 X=15.00 log(MN)=0.007 tau=0.393 mkt=0.39 fracheston=0.41 relerr=0.0379 abserr=0.015 ”
[1] “S=15.10 X=17.50 log(MN)=-0.148 tau=0.393 mkt=0.36 fracheston=0.38 relerr=0.0358 abserr=0.013 ”
[1] “S=15.10 X=12.50 log(MN)=0.189 tau=0.754 mkt=0.44 fracheston=0.46 relerr=0.0406 abserr=0.018 ”
[1] “S=15.10 X=15.00 log(MN)=0.007 tau=0.754 mkt=0.41 fracheston=0.41 relerr=0.0043 abserr=0.002 ”
[1] “S=15.10 X=17.50 log(MN)=-0.148 tau=0.754 mkt=0.36 fracheston=0.38 relerr=0.0582 abserr=0.021 ”
[1] “S=15.10 X=5.00 log(MN)=1.105 tau=1.365 mkt=0.71 fracheston=0.73 relerr=0.0249 abserr=0.018 ”
[1] “S=15.10 X=10.00 log(MN)=0.412 tau=1.365 mkt=0.49 fracheston=0.51 relerr=0.0497 abserr=0.024 ”
[1] “S=15.10 X=15.00 log(MN)=0.007 tau=1.365 mkt=0.42 fracheston=0.41 relerr=0.0192 abserr=0.008 ”
[1] “S=15.10 X=10.00 log(MN)=0.412 tau=2.810 mkt=0.48 fracheston=0.50 relerr=0.0314 abserr=0.015 ”
[1] “S=15.10 X=15.00 log(MN)=0.007 tau=2.810 mkt=0.42 fracheston=0.41 relerr=0.0221 abserr=0.009 ”
[1] “S=15.10 X=20.00 log(MN)=-0.281 tau=2.810 mkt=0.39 fracheston=0.37 relerr=0.0621 abserr=0.024 ”
[1] “Z,2002-02-08,2002-02-08,0.00944413722707552,0.0120019972617687,0.577869733210704”
[1] “Stock: DFIB”
[1] “Getting stock vol= DFIB”
[1] “Stock: YCC”
[1] “Getting stock vol= YCC”
[1] “Stock: HBI”
[1] “Getting stock vol= HBI”
[1] “alpha= 1.33897936414795”
[1] “rho=-0.65 kappa=0.24 sigma=0.49 v0=0.04 vT=0.28”
[1] “Completed calibration for HBI”
[1] “S=21.11 X=17.50 log(MN)=0.188 tau=0.179 mkt=0.36 heston=0.31 relerr=0.1302 abserr=0.046 ”
[1] “S=21.11 X=20.00 log(MN)=0.054 tau=0.179 mkt=0.23 heston=0.24 relerr=0.0418 abserr=0.010 ”
[1] “S=21.11 X=22.50 log(MN)=-0.064 tau=0.179 mkt=0.19 heston=0.19 relerr=0.0016 abserr=0.000 ”
[1] “S=21.11 X=17.50 log(MN)=0.188 tau=0.540 mkt=0.30 heston=0.30 relerr=0.0096 abserr=0.003 ”
[1] “S=21.11 X=20.00 log(MN)=0.054 tau=0.540 mkt=0.25 heston=0.25 relerr=0.0001 abserr=0.000 ”
[1] “S=21.11 X=22.50 log(MN)=-0.064 tau=0.540 mkt=0.22 heston=0.21 relerr=0.0490 abserr=0.011 ”
[1] “S=21.11 X=17.50 log(MN)=0.188 tau=0.901 mkt=0.31 heston=0.31 relerr=0.0021 abserr=0.001 ”
[1] “S=21.11 X=20.00 log(MN)=0.054 tau=0.901 mkt=0.26 heston=0.26 relerr=0.0252 abserr=0.006 ”
[1] “S=21.11 X=22.50 log(MN)=-0.064 tau=0.901 mkt=0.23 heston=0.23 relerr=0.0001 abserr=0.000 ”
[1] “In LMHeston comparison alpha= 0.669489682073975”
[1] “S=21.11 X=17.50 log(MN)=0.188 tau=0.179 mkt=0.36 fracheston=0.31 relerr=0.1424 abserr=0.051 ”
[1] “S=21.11 X=20.00 log(MN)=0.054 tau=0.179 mkt=0.23 fracheston=0.24 relerr=0.0241 abserr=0.006 ”
[1] “S=21.11 X=22.50 log(MN)=-0.064 tau=0.179 mkt=0.19 fracheston=0.19 relerr=0.0154 abserr=0.003 ”
[1] “S=21.11 X=17.50 log(MN)=0.188 tau=0.540 mkt=0.30 fracheston=0.30 relerr=0.0035 abserr=0.001 ”
[1] “S=21.11 X=20.00 log(MN)=0.054 tau=0.540 mkt=0.25 fracheston=0.25 relerr=0.0000 abserr=0.000 ”
[1] “S=21.11 X=22.50 log(MN)=-0.064 tau=0.540 mkt=0.22 fracheston=0.21 relerr=0.0471 abserr=0.010 ”
[1] “S=21.11 X=17.50 log(MN)=0.188 tau=0.901 mkt=0.31 fracheston=0.31 relerr=0.0001 abserr=0.000 ”
[1] “S=21.11 X=20.00 log(MN)=0.054 tau=0.901 mkt=0.26 fracheston=0.26 relerr=0.0286 abserr=0.007 ”
[1] “S=21.11 X=22.50 log(MN)=-0.064 tau=0.901 mkt=0.23 fracheston=0.23 relerr=0.0019 abserr=0.000 ”
[1] “HBI,2006-09-06,2006-09-06,0.00643848694849572,0.00654763491629094,0.984680571687477”
[1] “Stock: EMN”
[1] “Getting stock vol= EMN”
[1] “alpha= 1.34388800609573”
[1] “rho=0.24 kappa=-0.05 sigma=0.52 v0=0.05 vT=0.18”
[1] “Stock: ACTR”
[1] “Getting stock vol= ACTR”
[1] “Stock: UGI”
[1] “Getting stock vol= UGI”
[1] “alpha= 1.33805836714528”
[1] “rho=-0.67 kappa=0.27 sigma=0.62 v0=0.05 vT=0.09”
[1] “Completed calibration for UGI”
[1] “S=29.85 X=25.00 log(MN)=0.177 tau=0.155 mkt=0.37 heston=0.32 relerr=0.1392 abserr=0.051 ”
[1] “S=29.85 X=30.00 log(MN)=-0.005 tau=0.155 mkt=0.21 heston=0.21 relerr=0.0061 abserr=0.001 ”
[1] “S=29.85 X=35.00 log(MN)=-0.159 tau=0.155 mkt=0.23 heston=0.19 relerr=0.1919 abserr=0.045 ”
[1] “S=29.85 X=25.00 log(MN)=0.177 tau=0.516 mkt=0.27 heston=0.29 relerr=0.0714 abserr=0.019 ”
[1] “S=29.85 X=30.00 log(MN)=-0.005 tau=0.516 mkt=0.20 heston=0.20 relerr=0.0012 abserr=0.000 ”
[1] “S=29.85 X=35.00 log(MN)=-0.159 tau=0.516 mkt=0.19 heston=0.16 relerr=0.1377 abserr=0.026 ”
[1] “S=29.85 X=40.00 log(MN)=-0.293 tau=0.516 mkt=0.25 heston=0.18 relerr=0.2876 abserr=0.071 ”
[1] “S=29.85 X=25.00 log(MN)=0.177 tau=0.877 mkt=0.23 heston=0.28 relerr=0.2322 abserr=0.052 ”
[1] “S=29.85 X=30.00 log(MN)=-0.005 tau=0.877 mkt=0.19 heston=0.19 relerr=0.0446 abserr=0.008 ”
[1] “S=29.85 X=35.00 log(MN)=-0.159 tau=0.877 mkt=0.18 heston=0.16 relerr=0.1201 abserr=0.021 ”
[1] “In LMHeston comparison alpha= 0.669029183572641”
[1] “S=29.85 X=25.00 log(MN)=0.177 tau=0.155 mkt=0.37 fracheston=0.34 relerr=0.0733 abserr=0.027 ”
[1] “S=29.85 X=30.00 log(MN)=-0.005 tau=0.155 mkt=0.21 fracheston=0.22 relerr=0.0496 abserr=0.011 ”
[1] “S=29.85 X=35.00 log(MN)=-0.159 tau=0.155 mkt=0.23 fracheston=0.23 relerr=0.0000 abserr=0.000 ”
[1] “S=29.85 X=25.00 log(MN)=0.177 tau=0.516 mkt=0.27 fracheston=0.29 relerr=0.0785 abserr=0.021 ”
[1] “S=29.85 X=30.00 log(MN)=-0.005 tau=0.516 mkt=0.20 fracheston=0.18 relerr=0.0883 abserr=0.018 ”
[1] “S=29.85 X=35.00 log(MN)=-0.159 tau=0.516 mkt=0.19 fracheston=0.20 relerr=0.0766 abserr=0.014 ”
[1] “S=29.85 X=40.00 log(MN)=-0.293 tau=0.516 mkt=0.25 fracheston=0.24 relerr=0.0107 abserr=0.003 ”
[1] “S=29.85 X=25.00 log(MN)=0.177 tau=0.877 mkt=0.23 fracheston=0.26 relerr=0.1584 abserr=0.036 ”
[1] “S=29.85 X=30.00 log(MN)=-0.005 tau=0.877 mkt=0.19 fracheston=0.16 relerr=0.1543 abserr=0.029 ”
[1] “S=29.85 X=35.00 log(MN)=-0.159 tau=0.877 mkt=0.18 fracheston=0.18 relerr=0.0000 abserr=0.000 ”
[1] “UGI,2003-09-09,2003-09-09,0.0197046982371611,0.0105176995254735,0.205657538044838”
[1] “Stock: AMP”
[1] “Getting stock vol= AMP”
^C
[1] “Stock,StartDate,FinishDate,HestonMean,fracHestonMean,TtestPValue”
[1] “Stock: MIL”
[1] “Getting stock vol= MIL”
[1] “alpha= 1.34531914325315”
[1] “rho=-0.57 kappa=0.09 sigma=0.30 v0=0.07 vT=0.45”
[1] “Completed calibration for MIL”
[1] “S=51.53 X=50.00 log(MN)=0.030 tau=0.143 mkt=0.27 heston=0.27 relerr=0.0184 abserr=0.005 ”
[1] “S=51.53 X=55.00 log(MN)=-0.065 tau=0.143 mkt=0.23 heston=0.25 relerr=0.0751 abserr=0.017 ”
[1] “S=51.53 X=60.00 log(MN)=-0.152 tau=0.143 mkt=0.25 heston=0.24 relerr=0.0610 abserr=0.015 ”
[1] “S=51.53 X=45.00 log(MN)=0.136 tau=0.282 mkt=0.30 heston=0.30 relerr=0.0008 abserr=0.000 ”
[1] “S=51.53 X=50.00 log(MN)=0.030 tau=0.282 mkt=0.28 heston=0.27 relerr=0.0139 abserr=0.004 ”
[1] “S=51.53 X=55.00 log(MN)=-0.065 tau=0.282 mkt=0.25 heston=0.26 relerr=0.0353 abserr=0.009 ”
[1] “S=51.53 X=60.00 log(MN)=-0.152 tau=0.282 mkt=0.24 heston=0.24 relerr=0.0246 abserr=0.006 ”
[1] “S=51.53 X=65.00 log(MN)=-0.232 tau=0.282 mkt=0.27 heston=0.23 relerr=0.1300 abserr=0.035 ”
[1] “S=51.53 X=70.00 log(MN)=-0.306 tau=0.282 mkt=0.31 heston=0.23 relerr=0.2679 abserr=0.084 ”
[1] “S=51.53 X=45.00 log(MN)=0.136 tau=0.643 mkt=0.31 heston=0.31 relerr=0.0043 abserr=0.001 ”
[1] “S=51.53 X=50.00 log(MN)=0.030 tau=0.643 mkt=0.28 heston=0.28 relerr=0.0042 abserr=0.001 ”
[1] “S=51.53 X=55.00 log(MN)=-0.065 tau=0.643 mkt=0.26 heston=0.27 relerr=0.0046 abserr=0.001 ”
[1] “S=51.53 X=60.00 log(MN)=-0.152 tau=0.643 mkt=0.25 heston=0.25 relerr=0.0084 abserr=0.002 ”
[1] “S=51.53 X=65.00 log(MN)=-0.232 tau=0.643 mkt=0.24 heston=0.24 relerr=0.0029 abserr=0.001 ”
[1] “S=51.53 X=70.00 log(MN)=-0.306 tau=0.643 mkt=0.23 heston=0.24 relerr=0.0267 abserr=0.006 ”
[1] “S=51.53 X=40.00 log(MN)=0.253 tau=1.365 mkt=0.35 heston=0.35 relerr=0.0175 abserr=0.006 ”
[1] “S=51.53 X=50.00 log(MN)=0.030 tau=1.365 mkt=0.30 heston=0.30 relerr=0.0188 abserr=0.006 ”
[1] “S=51.53 X=60.00 log(MN)=-0.152 tau=1.365 mkt=0.28 heston=0.27 relerr=0.0281 abserr=0.008 ”
[1] “S=51.53 X=65.00 log(MN)=-0.232 tau=1.365 mkt=0.26 heston=0.26 relerr=0.0132 abserr=0.004 ”
[1] “S=51.53 X=40.00 log(MN)=0.253 tau=2.810 mkt=0.36 heston=0.37 relerr=0.0373 abserr=0.013 ”
[1] “S=51.53 X=50.00 log(MN)=0.030 tau=2.810 mkt=0.33 heston=0.33 relerr=0.0000 abserr=0.000 ”
[1] “S=51.53 X=60.00 log(MN)=-0.152 tau=2.810 mkt=0.30 heston=0.31 relerr=0.0178 abserr=0.005 ”
[1] “S=51.53 X=70.00 log(MN)=-0.306 tau=2.810 mkt=0.29 heston=0.29 relerr=0.0064 abserr=0.002 ”
[1] “S=51.53 X=80.00 log(MN)=-0.440 tau=2.810 mkt=0.28 heston=0.28 relerr=0.0004 abserr=0.000 ”
[1] “In LMHeston comparison alpha= 0.672659571626576”
[1] “S=51.53 X=50.00 log(MN)=0.030 tau=0.143 mkt=0.27 fracheston=0.27 relerr=0.0279 abserr=0.008 ”
[1] “S=51.53 X=55.00 log(MN)=-0.065 tau=0.143 mkt=0.23 fracheston=0.25 relerr=0.0543 abserr=0.013 ”
[1] “S=51.53 X=60.00 log(MN)=-0.152 tau=0.143 mkt=0.25 fracheston=0.24 relerr=0.0586 abserr=0.015 ”
[1] “S=51.53 X=45.00 log(MN)=0.136 tau=0.282 mkt=0.30 fracheston=0.30 relerr=0.0146 abserr=0.004 ”
[1] “S=51.53 X=50.00 log(MN)=0.030 tau=0.282 mkt=0.28 fracheston=0.27 relerr=0.0198 abserr=0.006 ”
[1] “S=51.53 X=55.00 log(MN)=-0.065 tau=0.282 mkt=0.25 fracheston=0.25 relerr=0.0196 abserr=0.005 ”
[1] “S=51.53 X=60.00 log(MN)=-0.152 tau=0.282 mkt=0.24 fracheston=0.24 relerr=0.0298 abserr=0.007 ”
[1] “S=51.53 X=65.00 log(MN)=-0.232 tau=0.282 mkt=0.27 fracheston=0.24 relerr=0.0918 abserr=0.025 ”
[1] “S=51.53 X=70.00 log(MN)=-0.306 tau=0.282 mkt=0.31 fracheston=0.25 relerr=0.2077 abserr=0.065 ”
[1] “S=51.53 X=45.00 log(MN)=0.136 tau=0.643 mkt=0.31 fracheston=0.31 relerr=0.0085 abserr=0.003 ”
[1] “S=51.53 X=50.00 log(MN)=0.030 tau=0.643 mkt=0.28 fracheston=0.28 relerr=0.0000 abserr=0.000 ”
[1] “S=51.53 X=55.00 log(MN)=-0.065 tau=0.643 mkt=0.26 fracheston=0.26 relerr=0.0063 abserr=0.002 ”
[1] “S=51.53 X=60.00 log(MN)=-0.152 tau=0.643 mkt=0.25 fracheston=0.25 relerr=0.0017 abserr=0.000 ”
[1] “S=51.53 X=65.00 log(MN)=-0.232 tau=0.643 mkt=0.24 fracheston=0.25 relerr=0.0392 abserr=0.009 ”
[1] “S=51.53 X=70.00 log(MN)=-0.306 tau=0.643 mkt=0.23 fracheston=0.25 relerr=0.0993 abserr=0.023 ”
[1] “S=51.53 X=40.00 log(MN)=0.253 tau=1.365 mkt=0.35 fracheston=0.35 relerr=0.0011 abserr=0.000 ”
[1] “S=51.53 X=50.00 log(MN)=0.030 tau=1.365 mkt=0.30 fracheston=0.30 relerr=0.0118 abserr=0.003 ”
[1] “S=51.53 X=60.00 log(MN)=-0.152 tau=1.365 mkt=0.28 fracheston=0.27 relerr=0.0299 abserr=0.008 ”
[1] “S=51.53 X=65.00 log(MN)=-0.232 tau=1.365 mkt=0.26 fracheston=0.27 relerr=0.0037 abserr=0.001 ”
[1] “S=51.53 X=40.00 log(MN)=0.253 tau=2.810 mkt=0.36 fracheston=0.37 relerr=0.0300 abserr=0.011 ”
[1] “S=51.53 X=50.00 log(MN)=0.030 tau=2.810 mkt=0.33 fracheston=0.33 relerr=0.0204 abserr=0.007 ”
[1] “S=51.53 X=60.00 log(MN)=-0.152 tau=2.810 mkt=0.30 fracheston=0.30 relerr=0.0018 abserr=0.001 ”
[1] “S=51.53 X=70.00 log(MN)=-0.306 tau=2.810 mkt=0.29 fracheston=0.29 relerr=0.0071 abserr=0.002 ”
[1] “S=51.53 X=80.00 log(MN)=-0.440 tau=2.810 mkt=0.28 fracheston=0.29 relerr=0.0272 abserr=0.008 ”
[1] “MIL,2002-02-08,2002-02-08,0.00826741015523922,0.00801169750506851,0.948843089552889”
[1] “Stock: GZTC”
[1] “Getting stock vol= GZTC”
[1] “Stock: RMC”
[1] “Getting stock vol= RMC”
[1] “Stock: HWAY”
[1] “Getting stock vol= HWAY”
[1] “alpha= 1.3406244760644”
[1] “rho=-0.71 kappa=0.25 sigma=0.49 v0=0.11 vT=0.24”
[1] “Completed calibration for HWAY”
[1] “S=45.22 X=40.00 log(MN)=0.123 tau=0.175 mkt=0.38 heston=0.38 relerr=0.0000 abserr=0.000 ”
[1] “S=45.22 X=45.00 log(MN)=0.005 tau=0.175 mkt=0.33 heston=0.34 relerr=0.0550 abserr=0.018 ”
[1] “S=45.22 X=50.00 log(MN)=-0.100 tau=0.175 mkt=0.29 heston=0.31 relerr=0.0686 abserr=0.020 ”
[1] “S=45.22 X=35.00 log(MN)=0.256 tau=0.425 mkt=0.44 heston=0.42 relerr=0.0599 abserr=0.027 ”
[1] “S=45.22 X=40.00 log(MN)=0.123 tau=0.425 mkt=0.39 heston=0.38 relerr=0.0273 abserr=0.011 ”
[1] “S=45.22 X=45.00 log(MN)=0.005 tau=0.425 mkt=0.35 heston=0.34 relerr=0.0101 abserr=0.004 ”
[1] “S=45.22 X=50.00 log(MN)=-0.100 tau=0.425 mkt=0.32 heston=0.31 relerr=0.0257 abserr=0.008 ”
[1] “S=45.22 X=40.00 log(MN)=0.123 tau=0.786 mkt=0.37 heston=0.38 relerr=0.0091 abserr=0.003 ”
[1] “S=45.22 X=45.00 log(MN)=0.005 tau=0.786 mkt=0.34 heston=0.34 relerr=0.0032 abserr=0.001 ”
[1] “S=45.22 X=50.00 log(MN)=-0.100 tau=0.786 mkt=0.31 heston=0.31 relerr=0.0000 abserr=0.000 ”
[1] “S=45.22 X=55.00 log(MN)=-0.196 tau=0.786 mkt=0.30 heston=0.29 relerr=0.0333 abserr=0.010 ”
[1] “In LMHeston comparison alpha= 0.670312238032199”
[1] “S=45.22 X=40.00 log(MN)=0.123 tau=0.175 mkt=0.38 fracheston=0.38 relerr=0.0000 abserr=0.000 ”
[1] “S=45.22 X=45.00 log(MN)=0.005 tau=0.175 mkt=0.33 fracheston=0.34 relerr=0.0525 abserr=0.017 ”
[1] “S=45.22 X=50.00 log(MN)=-0.100 tau=0.175 mkt=0.29 fracheston=0.32 relerr=0.0752 abserr=0.022 ”
[1] “S=45.22 X=35.00 log(MN)=0.256 tau=0.425 mkt=0.44 fracheston=0.42 relerr=0.0515 abserr=0.023 ”
[1] “S=45.22 X=40.00 log(MN)=0.123 tau=0.425 mkt=0.39 fracheston=0.38 relerr=0.0234 abserr=0.009 ”
[1] “S=45.22 X=45.00 log(MN)=0.005 tau=0.425 mkt=0.35 fracheston=0.34 relerr=0.0097 abserr=0.003 ”
[1] “S=45.22 X=50.00 log(MN)=-0.100 tau=0.425 mkt=0.32 fracheston=0.32 relerr=0.0182 abserr=0.006 ”
[1] “S=45.22 X=40.00 log(MN)=0.123 tau=0.786 mkt=0.37 fracheston=0.38 relerr=0.0108 abserr=0.004 ”
[1] “S=45.22 X=45.00 log(MN)=0.005 tau=0.786 mkt=0.34 fracheston=0.34 relerr=0.0000 abserr=0.000 ”
[1] “S=45.22 X=50.00 log(MN)=-0.100 tau=0.786 mkt=0.31 fracheston=0.32 relerr=0.0028 abserr=0.001 ”
[1] “S=45.22 X=55.00 log(MN)=-0.196 tau=0.786 mkt=0.30 fracheston=0.30 relerr=0.0063 abserr=0.002 ”
[1] “HWAY,2006-02-02,2006-02-02,0.00676481258106204,0.00580611069326588,0.758010871058584”
[1] “Stock: GZMO”
[1] “Getting stock vol= GZMO”
[1] “Stock: WTW”
[1] “Getting stock vol= WTW”
[1] “alpha= 1.34627351158804”
[1] “rho=-0.57 kappa=0.19 sigma=0.56 v0=0.09 vT=0.21”
[1] “Completed calibration for WTW”
[1] “S=46.00 X=35.00 log(MN)=0.273 tau=0.202 mkt=0.43 heston=0.41 relerr=0.0429 abserr=0.018 ”
[1] “S=46.00 X=40.00 log(MN)=0.140 tau=0.202 mkt=0.36 heston=0.35 relerr=0.0336 abserr=0.012 ”
[1] “S=46.00 X=45.00 log(MN)=0.022 tau=0.202 mkt=0.30 heston=0.31 relerr=0.0383 abserr=0.011 ”
[1] “S=46.00 X=50.00 log(MN)=-0.083 tau=0.202 mkt=0.27 heston=0.28 relerr=0.0559 abserr=0.015 ”
[1] “S=46.00 X=55.00 log(MN)=-0.179 tau=0.202 mkt=0.25 heston=0.26 relerr=0.0702 abserr=0.017 ”
[1] “S=46.00 X=35.00 log(MN)=0.273 tau=0.425 mkt=0.38 heston=0.39 relerr=0.0248 abserr=0.010 ”
[1] “S=46.00 X=40.00 log(MN)=0.140 tau=0.425 mkt=0.35 heston=0.35 relerr=0.0000 abserr=0.000 ”
[1] “S=46.00 X=45.00 log(MN)=0.022 tau=0.425 mkt=0.31 heston=0.31 relerr=0.0008 abserr=0.000 ”
[1] “S=46.00 X=50.00 log(MN)=-0.083 tau=0.425 mkt=0.28 heston=0.28 relerr=0.0053 abserr=0.001 ”
[1] “S=46.00 X=55.00 log(MN)=-0.179 tau=0.425 mkt=0.27 heston=0.26 relerr=0.0169 abserr=0.004 ”
[1] “S=46.00 X=35.00 log(MN)=0.273 tau=0.786 mkt=0.39 heston=0.38 relerr=0.0055 abserr=0.002 ”
[1] “S=46.00 X=40.00 log(MN)=0.140 tau=0.786 mkt=0.33 heston=0.34 relerr=0.0199 abserr=0.007 ”
[1] “S=46.00 X=45.00 log(MN)=0.022 tau=0.786 mkt=0.31 heston=0.30 relerr=0.0195 abserr=0.006 ”
[1] “S=46.00 X=50.00 log(MN)=-0.083 tau=0.786 mkt=0.29 heston=0.27 relerr=0.0542 abserr=0.016 ”
[1] “S=46.00 X=55.00 log(MN)=-0.179 tau=0.786 mkt=0.26 heston=0.26 relerr=0.0263 abserr=0.007 ”
[1] “In LMHeston comparison alpha= 0.673136755794019”
[1] “S=46.00 X=35.00 log(MN)=0.273 tau=0.202 mkt=0.43 fracheston=0.40 relerr=0.0596 abserr=0.026 ”
[1] “S=46.00 X=40.00 log(MN)=0.140 tau=0.202 mkt=0.36 fracheston=0.34 relerr=0.0591 abserr=0.021 ”
[1] “S=46.00 X=45.00 log(MN)=0.022 tau=0.202 mkt=0.30 fracheston=0.30 relerr=0.0035 abserr=0.001 ”
[1] “S=46.00 X=50.00 log(MN)=-0.083 tau=0.202 mkt=0.27 fracheston=0.27 relerr=0.0077 abserr=0.002 ”
[1] “S=46.00 X=55.00 log(MN)=-0.179 tau=0.202 mkt=0.25 fracheston=0.25 relerr=0.0061 abserr=0.002 ”
[1] “S=46.00 X=35.00 log(MN)=0.273 tau=0.425 mkt=0.38 fracheston=0.39 relerr=0.0198 abserr=0.008 ”
[1] “S=46.00 X=40.00 log(MN)=0.140 tau=0.425 mkt=0.35 fracheston=0.35 relerr=0.0037 abserr=0.001 ”
[1] “S=46.00 X=45.00 log(MN)=0.022 tau=0.425 mkt=0.31 fracheston=0.31 relerr=0.0022 abserr=0.001 ”
[1] “S=46.00 X=50.00 log(MN)=-0.083 tau=0.425 mkt=0.28 fracheston=0.28 relerr=0.0029 abserr=0.001 ”
[1] “S=46.00 X=55.00 log(MN)=-0.179 tau=0.425 mkt=0.27 fracheston=0.26 relerr=0.0368 abserr=0.010 ”
[1] “S=46.00 X=35.00 log(MN)=0.273 tau=0.786 mkt=0.39 fracheston=0.39 relerr=0.0136 abserr=0.005 ”
[1] “S=46.00 X=40.00 log(MN)=0.140 tau=0.786 mkt=0.33 fracheston=0.35 relerr=0.0486 abserr=0.016 ”
[1] “S=46.00 X=45.00 log(MN)=0.022 tau=0.786 mkt=0.31 fracheston=0.32 relerr=0.0167 abserr=0.005 ”
[1] “S=46.00 X=50.00 log(MN)=-0.083 tau=0.786 mkt=0.29 fracheston=0.29 relerr=0.0170 abserr=0.005 ”
[1] “S=46.00 X=55.00 log(MN)=-0.179 tau=0.786 mkt=0.26 fracheston=0.26 relerr=0.0001 abserr=0.000 ”
[1] “WTW,2003-01-02,2003-01-02,0.00638029909614255,0.00517242431119254,0.593168488306217”
[1] “Stock: STEL”
[1] “Getting stock vol= STEL”
[1] “Stock: AVID”
[1] “Getting stock vol= AVID”
[1] “alpha= 1.34609954044104”
[1] “Stock: ATW”
[1] “Getting stock vol= ATW”
[1] “alpha= 1.33427544025822”
[1] “rho=-0.59 kappa=0.34 sigma=0.30 v0=0.10 vT=0.29”
[1] “Completed calibration for ATW”
[1] “S=37.00 X=25.00 log(MN)=0.392 tau=0.143 mkt=0.45 heston=0.53 relerr=0.1869 abserr=0.083 ”
[1] “S=37.00 X=30.00 log(MN)=0.210 tau=0.143 mkt=0.38 heston=0.39 relerr=0.0056 abserr=0.002 ”
[1] “S=37.00 X=35.00 log(MN)=0.056 tau=0.143 mkt=0.36 heston=0.34 relerr=0.0414 abserr=0.015 ”
[1] “S=37.00 X=22.50 log(MN)=0.497 tau=0.282 mkt=0.44 heston=0.53 relerr=0.1937 abserr=0.086 ”
[1] “S=37.00 X=25.00 log(MN)=0.392 tau=0.282 mkt=0.44 heston=0.46 relerr=0.0409 abserr=0.018 ”
[1] “S=37.00 X=30.00 log(MN)=0.210 tau=0.282 mkt=0.39 heston=0.38 relerr=0.0280 abserr=0.011 ”
[1] “S=37.00 X=35.00 log(MN)=0.056 tau=0.282 mkt=0.35 heston=0.35 relerr=0.0149 abserr=0.005 ”
[1] “S=37.00 X=40.00 log(MN)=-0.078 tau=0.282 mkt=0.33 heston=0.33 relerr=0.0001 abserr=0.000 ”
[1] “S=37.00 X=25.00 log(MN)=0.392 tau=0.643 mkt=0.43 heston=0.43 relerr=0.0001 abserr=0.000 ”
[1] “S=37.00 X=30.00 log(MN)=0.210 tau=0.643 mkt=0.40 heston=0.39 relerr=0.0159 abserr=0.006 ”
[1] “S=37.00 X=35.00 log(MN)=0.056 tau=0.643 mkt=0.36 heston=0.36 relerr=0.0000 abserr=0.000 ”
[1] “S=37.00 X=40.00 log(MN)=-0.078 tau=0.643 mkt=0.32 heston=0.34 relerr=0.0541 abserr=0.018 ”
[1] “In LMHeston comparison alpha= 0.66713772012911”
[1] “S=37.00 X=25.00 log(MN)=0.392 tau=0.143 mkt=0.45 fracheston=0.53 relerr=0.1952 abserr=0.087 ”
[1] “S=37.00 X=30.00 log(MN)=0.210 tau=0.143 mkt=0.38 fracheston=0.40 relerr=0.0295 abserr=0.011 ”
[1] “S=37.00 X=35.00 log(MN)=0.056 tau=0.143 mkt=0.36 fracheston=0.35 relerr=0.0354 abserr=0.013 ”
[1] “S=37.00 X=22.50 log(MN)=0.497 tau=0.282 mkt=0.44 fracheston=0.52 relerr=0.1757 abserr=0.078 ”
[1] “S=37.00 X=25.00 log(MN)=0.392 tau=0.282 mkt=0.44 fracheston=0.47 relerr=0.0687 abserr=0.030 ”
[1] “S=37.00 X=30.00 log(MN)=0.210 tau=0.282 mkt=0.39 fracheston=0.39 relerr=0.0001 abserr=0.000 ”
[1] “S=37.00 X=35.00 log(MN)=0.056 tau=0.282 mkt=0.35 fracheston=0.35 relerr=0.0043 abserr=0.002 ”
[1] “S=37.00 X=40.00 log(MN)=-0.078 tau=0.282 mkt=0.33 fracheston=0.33 relerr=0.0074 abserr=0.002 ”
[1] “S=37.00 X=25.00 log(MN)=0.392 tau=0.643 mkt=0.43 fracheston=0.45 relerr=0.0388 abserr=0.017 ”
[1] “S=37.00 X=30.00 log(MN)=0.210 tau=0.643 mkt=0.40 fracheston=0.40 relerr=0.0103 abserr=0.004 ”
[1] “S=37.00 X=35.00 log(MN)=0.056 tau=0.643 mkt=0.36 fracheston=0.36 relerr=0.0067 abserr=0.002 ”
[1] “S=37.00 X=40.00 log(MN)=-0.078 tau=0.643 mkt=0.32 fracheston=0.34 relerr=0.0417 abserr=0.014 ”
[1] “ATW,2002-02-08,2002-02-08,0.0143488347091413,0.0152702111883542,0.920986260759563”
[1] “Stock: FTUS”
[1] “Getting stock vol= FTUS”
[1] “Stock: SKT”
[1] “Getting stock vol= SKT”
[1] “alpha= 1.34004109419911”
[1] “rho=-0.73 kappa=0.38 sigma=0.36 v0=0.12 vT=0.01”
[1] “Completed calibration for SKT”
[1] “S=35.80 X=35.00 log(MN)=0.023 tau=0.202 mkt=0.35 heston=0.34 relerr=0.0193 abserr=0.007 ”
[1] “S=35.80 X=40.00 log(MN)=-0.111 tau=0.202 mkt=0.32 heston=0.32 relerr=0.0071 abserr=0.002 ”
[1] “S=35.80 X=45.00 log(MN)=-0.229 tau=0.202 mkt=0.31 heston=0.29 relerr=0.0730 abserr=0.023 ”
[1] “S=35.80 X=35.00 log(MN)=0.023 tau=0.341 mkt=0.34 heston=0.34 relerr=0.0126 abserr=0.004 ”
[1] “S=35.80 X=40.00 log(MN)=-0.111 tau=0.341 mkt=0.31 heston=0.31 relerr=0.0112 abserr=0.003 ”
[1] “S=35.80 X=45.00 log(MN)=-0.229 tau=0.341 mkt=0.28 heston=0.28 relerr=0.0327 abserr=0.009 ”
[1] “S=35.80 X=35.00 log(MN)=0.023 tau=0.702 mkt=0.32 heston=0.33 relerr=0.0261 abserr=0.008 ”
[1] “S=35.80 X=40.00 log(MN)=-0.111 tau=0.702 mkt=0.30 heston=0.30 relerr=0.0038 abserr=0.001 ”
[1] “S=35.80 X=45.00 log(MN)=-0.229 tau=0.702 mkt=0.27 heston=0.27 relerr=0.0002 abserr=0.000 ”
[1] “In LMHeston comparison alpha= 0.670020547099553”
[1] “S=35.80 X=35.00 log(MN)=0.023 tau=0.202 mkt=0.35 fracheston=0.35 relerr=0.0000 abserr=0.000 ”
[1] “S=35.80 X=40.00 log(MN)=-0.111 tau=0.202 mkt=0.32 fracheston=0.32 relerr=0.0025 abserr=0.001 ”
[1] “S=35.80 X=45.00 log(MN)=-0.229 tau=0.202 mkt=0.31 fracheston=0.30 relerr=0.0317 abserr=0.010 ”
[1] “S=35.80 X=35.00 log(MN)=0.023 tau=0.341 mkt=0.34 fracheston=0.34 relerr=0.0203 abserr=0.007 ”
[1] “S=35.80 X=40.00 log(MN)=-0.111 tau=0.341 mkt=0.31 fracheston=0.31 relerr=0.0000 abserr=0.000 ”
[1] “S=35.80 X=45.00 log(MN)=-0.229 tau=0.341 mkt=0.28 fracheston=0.29 relerr=0.0703 abserr=0.019 ”
[1] “S=35.80 X=35.00 log(MN)=0.023 tau=0.702 mkt=0.32 fracheston=0.32 relerr=0.0000 abserr=0.000 ”
[1] “S=35.80 X=40.00 log(MN)=-0.111 tau=0.702 mkt=0.30 fracheston=0.28 relerr=0.0507 abserr=0.015 ”
[1] “S=35.80 X=45.00 log(MN)=-0.229 tau=0.702 mkt=0.27 fracheston=0.27 relerr=0.0190 abserr=0.005 ”
[1] “SKT,2008-06-26,2008-06-26,0.00528610422291484,0.00518979503747534,0.973870683243455”
[1] “Stock: PCOP”
[1] “Getting stock vol= PCOP”
[1] “Stock: MTU”
[1] “Getting stock vol= MTU”
[1] “Stock: RBI”
[1] “Getting stock vol= RBI”
[1] “Stock: WGRD”
[1] “Getting stock vol= WGRD”
[1] “Stock: CLB”
[1] “Getting stock vol= CLB”
[1] “Stock: PKI”
[1] “Getting stock vol= PKI”
[1] “alpha= 1.34051258893173”
[1] “rho=-0.33 kappa=0.21 sigma=0.58 v0=0.16 vT=0.01”
[1] “Completed calibration for PKI”
[1] “S=26.47 X=20.00 log(MN)=0.280 tau=0.143 mkt=0.46 heston=0.48 relerr=0.0346 abserr=0.016 ”
[1] “S=26.47 X=22.50 log(MN)=0.162 tau=0.143 mkt=0.48 heston=0.43 relerr=0.0928 abserr=0.044 ”
[1] “S=26.47 X=25.00 log(MN)=0.057 tau=0.143 mkt=0.40 heston=0.41 relerr=0.0314 abserr=0.012 ”
[1] “S=26.47 X=30.00 log(MN)=-0.125 tau=0.143 mkt=0.38 heston=0.38 relerr=0.0117 abserr=0.004 ”
[1] “S=26.47 X=35.00 log(MN)=-0.279 tau=0.143 mkt=0.46 heston=0.38 relerr=0.1829 abserr=0.085 ”
[1] “S=26.47 X=40.00 log(MN)=-0.413 tau=0.143 mkt=0.63 heston=0.38 relerr=0.3882 abserr=0.243 ***”
[1] “S=26.47 X=22.50 log(MN)=0.162 tau=0.532 mkt=0.41 heston=0.41 relerr=0.0003 abserr=0.000 ”
[1] “S=26.47 X=25.00 log(MN)=0.057 tau=0.532 mkt=0.39 heston=0.39 relerr=0.0046 abserr=0.002 ”
[1] “S=26.47 X=30.00 log(MN)=-0.125 tau=0.532 mkt=0.37 heston=0.36 relerr=0.0154 abserr=0.006 ”
[1] “S=26.47 X=35.00 log(MN)=-0.279 tau=0.532 mkt=0.36 heston=0.36 relerr=0.0041 abserr=0.001 ”
[1] “S=26.47 X=40.00 log(MN)=-0.413 tau=0.532 mkt=0.37 heston=0.37 relerr=0.0001 abserr=0.000 ”
[1] “S=26.47 X=22.50 log(MN)=0.162 tau=0.893 mkt=0.40 heston=0.40 relerr=0.0110 abserr=0.004 ”
[1] “S=26.47 X=25.00 log(MN)=0.057 tau=0.893 mkt=0.37 heston=0.37 relerr=0.0163 abserr=0.006 ”
[1] “S=26.47 X=30.00 log(MN)=-0.125 tau=0.893 mkt=0.35 heston=0.35 relerr=0.0047 abserr=0.002 ”
[1] “S=26.47 X=35.00 log(MN)=-0.279 tau=0.893 mkt=0.33 heston=0.34 relerr=0.0296 abserr=0.010 ”
[1] “S=26.47 X=40.00 log(MN)=-0.413 tau=0.893 mkt=0.33 heston=0.35 relerr=0.0665 abserr=0.022 ”
[1] “In LMHeston comparison alpha= 0.670256294465865”
[1] “S=26.47 X=20.00 log(MN)=0.280 tau=0.143 mkt=0.46 fracheston=0.48 relerr=0.0345 abserr=0.016 ”
[1] “S=26.47 X=22.50 log(MN)=0.162 tau=0.143 mkt=0.48 fracheston=0.43 relerr=0.0986 abserr=0.047 ”
[1] “S=26.47 X=25.00 log(MN)=0.057 tau=0.143 mkt=0.40 fracheston=0.40 relerr=0.0181 abserr=0.007 ”
[1] “S=26.47 X=30.00 log(MN)=-0.125 tau=0.143 mkt=0.38 fracheston=0.38 relerr=0.0058 abserr=0.002 ”
[1] “S=26.47 X=35.00 log(MN)=-0.279 tau=0.143 mkt=0.46 fracheston=0.38 relerr=0.1901 abserr=0.088 ”
[1] “S=26.47 X=40.00 log(MN)=-0.413 tau=0.143 mkt=0.63 fracheston=0.74 relerr=0.1774 abserr=0.111 ”
[1] “S=26.47 X=22.50 log(MN)=0.162 tau=0.532 mkt=0.41 fracheston=0.41 relerr=0.0035 abserr=0.001 ”
[1] “S=26.47 X=25.00 log(MN)=0.057 tau=0.532 mkt=0.39 fracheston=0.39 relerr=0.0087 abserr=0.003 ”
[1] “S=26.47 X=30.00 log(MN)=-0.125 tau=0.532 mkt=0.37 fracheston=0.36 relerr=0.0231 abserr=0.009 ”
[1] “S=26.47 X=35.00 log(MN)=-0.279 tau=0.532 mkt=0.36 fracheston=0.36 relerr=0.0082 abserr=0.003 ”
[1] “S=26.47 X=40.00 log(MN)=-0.413 tau=0.532 mkt=0.37 fracheston=0.37 relerr=0.0159 abserr=0.006 ”
[1] “S=26.47 X=22.50 log(MN)=0.162 tau=0.893 mkt=0.40 fracheston=0.40 relerr=0.0005 abserr=0.000 ”
[1] “S=26.47 X=25.00 log(MN)=0.057 tau=0.893 mkt=0.37 fracheston=0.38 relerr=0.0199 abserr=0.007 ”
[1] “S=26.47 X=30.00 log(MN)=-0.125 tau=0.893 mkt=0.35 fracheston=0.35 relerr=0.0036 abserr=0.001 ”
[1] “S=26.47 X=35.00 log(MN)=-0.279 tau=0.893 mkt=0.33 fracheston=0.35 relerr=0.0447 abserr=0.015 ”
[1] “S=26.47 X=40.00 log(MN)=-0.413 tau=0.893 mkt=0.33 fracheston=0.35 relerr=0.0723 abserr=0.024 ”
[1] “PKI,2002-02-08,2002-02-08,0.020798291598156,0.0154913236815891,0.685617186221787”
[1] “Stock: SPTN”
[1] “Getting stock vol= SPTN”
[1] “alpha= 1.34477926949736”
[1] “rho=-0.68 kappa=0.30 sigma=0.60 v0=0.13 vT=0.00”
[1] “Completed calibration for SPTN”
[1] “S=17.77 X=12.50 log(MN)=0.352 tau=0.155 mkt=0.58 heston=0.51 relerr=0.1167 abserr=0.067 ”
[1] “S=17.77 X=15.00 log(MN)=0.169 tau=0.155 mkt=0.43 heston=0.41 relerr=0.0436 abserr=0.019 ”
[1] “S=17.77 X=17.50 log(MN)=0.015 tau=0.155 mkt=0.36 heston=0.36 relerr=0.0135 abserr=0.005 ”
[1] “S=17.77 X=12.50 log(MN)=0.352 tau=0.405 mkt=0.47 heston=0.46 relerr=0.0023 abserr=0.001 ”
[1] “S=17.77 X=15.00 log(MN)=0.169 tau=0.405 mkt=0.37 heston=0.40 relerr=0.0638 abserr=0.024 ”
[1] “S=17.77 X=17.50 log(MN)=0.015 tau=0.405 mkt=0.35 heston=0.35 relerr=0.0001 abserr=0.000 ”
[1] “S=17.77 X=12.50 log(MN)=0.352 tau=0.766 mkt=0.43 heston=0.44 relerr=0.0223 abserr=0.010 ”
[1] “S=17.77 X=15.00 log(MN)=0.169 tau=0.766 mkt=0.36 heston=0.38 relerr=0.0446 abserr=0.016 ”
[1] “S=17.77 X=17.50 log(MN)=0.015 tau=0.766 mkt=0.34 heston=0.32 relerr=0.0493 abserr=0.017 ”
[1] “In LMHeston comparison alpha= 0.672389634748679”
[1] “S=17.77 X=12.50 log(MN)=0.352 tau=0.155 mkt=0.58 fracheston=0.51 relerr=0.1224 abserr=0.071 ”
[1] “S=17.77 X=15.00 log(MN)=0.169 tau=0.155 mkt=0.43 fracheston=0.41 relerr=0.0562 abserr=0.024 ”
[1] “S=17.77 X=17.50 log(MN)=0.015 tau=0.155 mkt=0.36 fracheston=0.36 relerr=0.0000 abserr=0.000 ”
[1] “S=17.77 X=12.50 log(MN)=0.352 tau=0.405 mkt=0.47 fracheston=0.47 relerr=0.0001 abserr=0.000 ”
[1] “S=17.77 X=15.00 log(MN)=0.169 tau=0.405 mkt=0.37 fracheston=0.40 relerr=0.0659 abserr=0.025 ”
[1] “S=17.77 X=17.50 log(MN)=0.015 tau=0.405 mkt=0.35 fracheston=0.35 relerr=0.0049 abserr=0.002 ”
[1] “S=17.77 X=12.50 log(MN)=0.352 tau=0.766 mkt=0.43 fracheston=0.45 relerr=0.0418 abserr=0.018 ”
[1] “S=17.77 X=15.00 log(MN)=0.169 tau=0.766 mkt=0.36 fracheston=0.39 relerr=0.0681 abserr=0.025 ”
[1] “S=17.77 X=17.50 log(MN)=0.015 tau=0.766 mkt=0.34 fracheston=0.33 relerr=0.0191 abserr=0.006 ”
[1] “SPTN,2006-10-10,2006-10-10,0.0132105478142758,0.0142123786088362,0.903337773225726”
[1] “Stock: PMTR”
[1] “Getting stock vol= PMTR”
[1] “Stock: HMN”
[1] “Getting stock vol= HMN”
[1] “alpha= 1.34044030521179”
[1] “rho=0.48 kappa=0.24 sigma=0.46 v0=0.08 vT=0.23”
[1] “Completed calibration for HMN”
[1] “S=21.75 X=17.50 log(MN)=0.217 tau=0.143 mkt=0.00 heston=0.33 relerr=4203318563297062.5000 abserr=0.332 ***”
[1] “S=21.75 X=20.00 log(MN)=0.084 tau=0.143 mkt=0.28 heston=0.29 relerr=0.0118 abserr=0.003 ”
[1] “S=21.75 X=22.50 log(MN)=-0.034 tau=0.143 mkt=0.30 heston=0.30 relerr=0.0026 abserr=0.001 ”
[1] “S=21.75 X=25.00 log(MN)=-0.139 tau=0.143 mkt=0.32 heston=0.32 relerr=0.0007 abserr=0.000 ”
[1] “S=21.75 X=15.00 log(MN)=0.372 tau=0.393 mkt=0.29 heston=0.37 relerr=0.2714 abserr=0.080 ”
[1] “S=21.75 X=17.50 log(MN)=0.217 tau=0.393 mkt=0.32 heston=0.30 relerr=0.0453 abserr=0.014 ”
[1] “S=21.75 X=20.00 log(MN)=0.084 tau=0.393 mkt=0.31 heston=0.29 relerr=0.0689 abserr=0.022 ”
[1] “S=21.75 X=22.50 log(MN)=-0.034 tau=0.393 mkt=0.29 heston=0.31 relerr=0.0765 abserr=0.022 ”
[1] “S=21.75 X=17.50 log(MN)=0.217 tau=0.754 mkt=0.30 heston=0.31 relerr=0.0070 abserr=0.002 ”
[1] “S=21.75 X=20.00 log(MN)=0.084 tau=0.754 mkt=0.31 heston=0.30 relerr=0.0280 abserr=0.009 ”
[1] “S=21.75 X=22.50 log(MN)=-0.034 tau=0.754 mkt=0.31 heston=0.32 relerr=0.0050 abserr=0.002 ”
[1] “In LMHeston comparison alpha= 0.670220152605893”
[1] “S=21.75 X=17.50 log(MN)=0.217 tau=0.143 mkt=0.00 fracheston=0.33 relerr=4237222458401037.0000 abserr=0.334 ***”
[1] “S=21.75 X=20.00 log(MN)=0.084 tau=0.143 mkt=0.28 fracheston=0.30 relerr=0.0418 abserr=0.012 ”
[1] “S=21.75 X=22.50 log(MN)=-0.034 tau=0.143 mkt=0.30 fracheston=0.30 relerr=0.0001 abserr=0.000 ”
[1] “S=21.75 X=25.00 log(MN)=-0.139 tau=0.143 mkt=0.32 fracheston=0.31 relerr=0.0277 abserr=0.009 ”
[1] “S=21.75 X=15.00 log(MN)=0.372 tau=0.393 mkt=0.29 fracheston=0.37 relerr=0.2600 abserr=0.076 ”
[1] “S=21.75 X=17.50 log(MN)=0.217 tau=0.393 mkt=0.32 fracheston=0.31 relerr=0.0332 abserr=0.011 ”
[1] “S=21.75 X=20.00 log(MN)=0.084 tau=0.393 mkt=0.31 fracheston=0.30 relerr=0.0452 abserr=0.014 ”
[1] “S=21.75 X=22.50 log(MN)=-0.034 tau=0.393 mkt=0.29 fracheston=0.31 relerr=0.0774 abserr=0.022 ”
[1] “S=21.75 X=17.50 log(MN)=0.217 tau=0.754 mkt=0.30 fracheston=0.31 relerr=0.0107 abserr=0.003 ”
[1] “S=21.75 X=20.00 log(MN)=0.084 tau=0.754 mkt=0.31 fracheston=0.31 relerr=0.0145 abserr=0.005 ”
[1] “S=21.75 X=22.50 log(MN)=-0.034 tau=0.754 mkt=0.31 fracheston=0.31 relerr=0.0000 abserr=0.000 ”
[1] “HMN,2002-02-08,2002-02-08,0.0323936624268152,0.0323971212074522,0.999912403904835”
[1] “Stock: CVNS”
[1] “Getting stock vol= CVNS”
[1] “Stock: EXLS”
[1] “Getting stock vol= EXLS”
[1] “alpha= 1.34476709292029”
[1] “Stock: BLT”
[1] “Getting stock vol= BLT”
[1] “alpha= 1.34399980541494”
[1] “rho=-0.81 kappa=0.62 sigma=0.33 v0=0.09 vT=0.16”
[1] “Completed calibration for BLT”
[1] “S=15.35 X=12.50 log(MN)=0.205 tau=0.115 mkt=0.40 heston=0.37 relerr=0.0638 abserr=0.026 ”
[1] “S=15.35 X=15.00 log(MN)=0.023 tau=0.115 mkt=0.28 heston=0.30 relerr=0.0696 abserr=0.020 ”
[1] “S=15.35 X=17.50 log(MN)=-0.131 tau=0.115 mkt=0.34 heston=0.27 relerr=0.2277 abserr=0.078 ”
[1] “S=15.35 X=12.50 log(MN)=0.205 tau=0.254 mkt=0.36 heston=0.36 relerr=0.0113 abserr=0.004 ”
[1] “S=15.35 X=15.00 log(MN)=0.023 tau=0.254 mkt=0.31 heston=0.31 relerr=0.0002 abserr=0.000 ”
[1] “S=15.35 X=17.50 log(MN)=-0.131 tau=0.254 mkt=0.26 heston=0.27 relerr=0.0491 abserr=0.013 ”
[1] “S=15.35 X=12.50 log(MN)=0.205 tau=0.615 mkt=0.37 heston=0.36 relerr=0.0258 abserr=0.010 ”
[1] “S=15.35 X=15.00 log(MN)=0.023 tau=0.615 mkt=0.32 heston=0.32 relerr=0.0055 abserr=0.002 ”
[1] “S=15.35 X=17.50 log(MN)=-0.131 tau=0.615 mkt=0.28 heston=0.28 relerr=0.0001 abserr=0.000 ”
[1] “S=15.35 X=12.50 log(MN)=0.205 tau=0.976 mkt=0.37 heston=0.37 relerr=0.0004 abserr=0.000 ”
[1] “S=15.35 X=15.00 log(MN)=0.023 tau=0.976 mkt=0.32 heston=0.33 relerr=0.0196 abserr=0.006 ”
[1] “S=15.35 X=17.50 log(MN)=-0.131 tau=0.976 mkt=0.30 heston=0.30 relerr=0.0063 abserr=0.002 ”
[1] “In LMHeston comparison alpha= 0.671999902707469”
[1] “S=15.35 X=12.50 log(MN)=0.205 tau=0.115 mkt=0.40 fracheston=0.37 relerr=0.0734 abserr=0.029 ”
[1] “S=15.35 X=15.00 log(MN)=0.023 tau=0.115 mkt=0.28 fracheston=0.29 relerr=0.0348 abserr=0.010 ”
[1] “S=15.35 X=17.50 log(MN)=-0.131 tau=0.115 mkt=0.34 fracheston=0.26 relerr=0.2448 abserr=0.084 ”
[1] “S=15.35 X=12.50 log(MN)=0.205 tau=0.254 mkt=0.36 fracheston=0.36 relerr=0.0064 abserr=0.002 ”
[1] “S=15.35 X=15.00 log(MN)=0.023 tau=0.254 mkt=0.31 fracheston=0.30 relerr=0.0217 abserr=0.007 ”
[1] “S=15.35 X=17.50 log(MN)=-0.131 tau=0.254 mkt=0.26 fracheston=0.27 relerr=0.0365 abserr=0.009 ”
[1] “S=15.35 X=12.50 log(MN)=0.205 tau=0.615 mkt=0.37 fracheston=0.37 relerr=0.0168 abserr=0.006 ”
[1] “S=15.35 X=15.00 log(MN)=0.023 tau=0.615 mkt=0.32 fracheston=0.32 relerr=0.0000 abserr=0.000 ”
[1] “S=15.35 X=17.50 log(MN)=-0.131 tau=0.615 mkt=0.28 fracheston=0.28 relerr=0.0012 abserr=0.000 ”
[1] “S=15.35 X=12.50 log(MN)=0.205 tau=0.976 mkt=0.37 fracheston=0.37 relerr=0.0188 abserr=0.007 ”
[1] “S=15.35 X=15.00 log(MN)=0.023 tau=0.976 mkt=0.32 fracheston=0.33 relerr=0.0246 abserr=0.008 ”
[1] “S=15.35 X=17.50 log(MN)=-0.131 tau=0.976 mkt=0.30 fracheston=0.30 relerr=0.0000 abserr=0.000 ”
[1] “BLT,2005-11-18,2005-11-18,0.013344007384246,0.0136095234362639,0.977537897072647”
[1] “Stock: MR”
[1] “Getting stock vol= MR”
[1] “Stock: BMS”
[1] “Getting stock vol= BMS”
[1] “alpha= 1.34256895496568”
[1] “rho=-0.03 kappa=0.04 sigma=0.14 v0=0.03 vT=0.68”
[1] “Completed calibration for BMS”
[1] “S=51.88 X=40.00 log(MN)=0.260 tau=0.143 mkt=0.00 heston=0.37 relerr=57992031043619936.0000 abserr=0.367 ***”
[1] “S=51.88 X=45.00 log(MN)=0.142 tau=0.143 mkt=0.22 heston=0.23 relerr=0.0168 abserr=0.004 ”
[1] “S=51.88 X=50.00 log(MN)=0.037 tau=0.143 mkt=0.18 heston=0.17 relerr=0.0466 abserr=0.008 ”
[1] “S=51.88 X=55.00 log(MN)=-0.058 tau=0.143 mkt=0.17 heston=0.17 relerr=0.0051 abserr=0.001 ”
[1] “S=51.88 X=35.00 log(MN)=0.394 tau=0.282 mkt=0.31 heston=0.42 relerr=0.3709 abserr=0.114 ***”
[1] “S=51.88 X=40.00 log(MN)=0.260 tau=0.282 mkt=0.28 heston=0.30 relerr=0.0743 abserr=0.021 ”
[1] “S=51.88 X=45.00 log(MN)=0.142 tau=0.282 mkt=0.19 heston=0.21 relerr=0.0779 abserr=0.015 ”
[1] “S=51.88 X=50.00 log(MN)=0.037 tau=0.282 mkt=0.18 heston=0.18 relerr=0.0109 abserr=0.002 ”
[1] “S=51.88 X=55.00 log(MN)=-0.058 tau=0.282 mkt=0.17 heston=0.17 relerr=0.0342 abserr=0.006 ”
[1] “S=51.88 X=60.00 log(MN)=-0.145 tau=0.282 mkt=0.17 heston=0.17 relerr=0.0001 abserr=0.000 ”
[1] “S=51.88 X=45.00 log(MN)=0.142 tau=0.643 mkt=0.21 heston=0.21 relerr=0.0009 abserr=0.000 ”
[1] “S=51.88 X=50.00 log(MN)=0.037 tau=0.643 mkt=0.20 heston=0.19 relerr=0.0125 abserr=0.002 ”
[1] “S=51.88 X=55.00 log(MN)=-0.058 tau=0.643 mkt=0.19 heston=0.19 relerr=0.0012 abserr=0.000 ”
[1] “S=51.88 X=60.00 log(MN)=-0.145 tau=0.643 mkt=0.18 heston=0.19 relerr=0.0578 abserr=0.010 ”
[1] “In LMHeston comparison alpha= 0.67128447748284”
[1] “S=51.88 X=40.00 log(MN)=0.260 tau=0.143 mkt=0.00 fracheston=0.37 relerr=57992068224723928.0000 abserr=0.367 ***”
[1] “S=51.88 X=45.00 log(MN)=0.142 tau=0.143 mkt=0.22 fracheston=0.23 relerr=0.0183 abserr=0.004 ”
[1] “S=51.88 X=50.00 log(MN)=0.037 tau=0.143 mkt=0.18 fracheston=0.17 relerr=0.0390 abserr=0.007 ”
[1] “S=51.88 X=55.00 log(MN)=-0.058 tau=0.143 mkt=0.17 fracheston=0.17 relerr=0.0000 abserr=0.000 ”
[1] “S=51.88 X=35.00 log(MN)=0.394 tau=0.282 mkt=0.31 fracheston=0.42 relerr=0.3709 abserr=0.114 ”
[1] “S=51.88 X=40.00 log(MN)=0.260 tau=0.282 mkt=0.28 fracheston=0.30 relerr=0.0744 abserr=0.021 ”
[1] “S=51.88 X=45.00 log(MN)=0.142 tau=0.282 mkt=0.19 fracheston=0.21 relerr=0.0827 abserr=0.016 ”
[1] “S=51.88 X=50.00 log(MN)=0.037 tau=0.282 mkt=0.18 fracheston=0.18 relerr=0.0016 abserr=0.000 ”
[1] “S=51.88 X=55.00 log(MN)=-0.058 tau=0.282 mkt=0.17 fracheston=0.17 relerr=0.0414 abserr=0.007 ”
[1] “S=51.88 X=60.00 log(MN)=-0.145 tau=0.282 mkt=0.17 fracheston=0.17 relerr=0.0005 abserr=0.000 ”
[1] “S=51.88 X=45.00 log(MN)=0.142 tau=0.643 mkt=0.21 fracheston=0.21 relerr=0.0007 abserr=0.000 ”
[1] “S=51.88 X=50.00 log(MN)=0.037 tau=0.643 mkt=0.20 fracheston=0.19 relerr=0.0113 abserr=0.002 ”
[1] “S=51.88 X=55.00 log(MN)=-0.058 tau=0.643 mkt=0.19 fracheston=0.19 relerr=0.0001 abserr=0.000 ”
[1] “S=51.88 X=60.00 log(MN)=-0.145 tau=0.643 mkt=0.18 fracheston=0.19 relerr=0.0515 abserr=0.009 ”
[1] “BMS,2002-02-08,2002-02-08,0.0323497856265996,0.0321729036887422,0.995481579459067”
[1] “Stock: CNQR”
[1] “Getting stock vol= CNQR”
[1] “alpha= 1.34506461360647”
[1] “rho=-0.52 kappa=0.06 sigma=0.48 v0=0.25 vT=0.21”
[1] “Completed calibration for CNQR”
[1] “S=13.08 X=7.50 log(MN)=0.556 tau=0.155 mkt=0.00 heston=0.71 relerr=16062541613452266.0000 abserr=0.713 ***”
[1] “S=13.08 X=10.00 log(MN)=0.268 tau=0.155 mkt=0.55 heston=0.55 relerr=0.0061 abserr=0.003 ”
[1] “S=13.08 X=12.50 log(MN)=0.045 tau=0.155 mkt=0.53 heston=0.51 relerr=0.0472 abserr=0.025 ”
[1] “S=13.08 X=15.00 log(MN)=-0.137 tau=0.155 mkt=0.53 heston=0.48 relerr=0.0989 abserr=0.053 ”
[1] “S=13.08 X=7.50 log(MN)=0.556 tau=0.294 mkt=0.65 heston=0.64 relerr=0.0249 abserr=0.016 ”
[1] “S=13.08 X=10.00 log(MN)=0.268 tau=0.294 mkt=0.54 heston=0.54 relerr=0.0001 abserr=0.000 ”
[1] “S=13.08 X=12.50 log(MN)=0.045 tau=0.294 mkt=0.50 heston=0.50 relerr=0.0114 abserr=0.006 ”
[1] “S=13.08 X=15.00 log(MN)=-0.137 tau=0.294 mkt=0.48 heston=0.48 relerr=0.0016 abserr=0.001 ”
[1] “S=13.08 X=7.50 log(MN)=0.556 tau=0.655 mkt=0.61 heston=0.60 relerr=0.0089 abserr=0.005 ”
[1] “S=13.08 X=10.00 log(MN)=0.268 tau=0.655 mkt=0.52 heston=0.54 relerr=0.0363 abserr=0.019 ”
[1] “S=13.08 X=12.50 log(MN)=0.045 tau=0.655 mkt=0.52 heston=0.50 relerr=0.0384 abserr=0.020 ”
[1] “S=13.08 X=15.00 log(MN)=-0.137 tau=0.655 mkt=0.47 heston=0.47 relerr=0.0000 abserr=0.000 ”
[1] “In LMHeston comparison alpha= 0.672532306803233”
[1] “S=13.08 X=7.50 log(MN)=0.556 tau=0.155 mkt=0.00 fracheston=0.71 relerr=16071266589065594.0000 abserr=0.713 ***”
[1] “S=13.08 X=10.00 log(MN)=0.268 tau=0.155 mkt=0.55 fracheston=0.55 relerr=0.0035 abserr=0.002 ”
[1] “S=13.08 X=12.50 log(MN)=0.045 tau=0.155 mkt=0.53 fracheston=0.51 relerr=0.0455 abserr=0.024 ”
[1] “S=13.08 X=15.00 log(MN)=-0.137 tau=0.155 mkt=0.53 fracheston=0.48 relerr=0.0977 abserr=0.052 ”
[1] “S=13.08 X=7.50 log(MN)=0.556 tau=0.294 mkt=0.65 fracheston=0.64 relerr=0.0235 abserr=0.015 ”
[1] “S=13.08 X=10.00 log(MN)=0.268 tau=0.294 mkt=0.54 fracheston=0.55 relerr=0.0021 abserr=0.001 ”
[1] “S=13.08 X=12.50 log(MN)=0.045 tau=0.294 mkt=0.50 fracheston=0.50 relerr=0.0131 abserr=0.007 ”
[1] “S=13.08 X=15.00 log(MN)=-0.137 tau=0.294 mkt=0.48 fracheston=0.48 relerr=0.0027 abserr=0.001 ”
[1] “S=13.08 X=7.50 log(MN)=0.556 tau=0.655 mkt=0.61 fracheston=0.60 relerr=0.0066 abserr=0.004 ”
[1] “S=13.08 X=10.00 log(MN)=0.268 tau=0.655 mkt=0.52 fracheston=0.54 relerr=0.0384 abserr=0.020 ”
[1] “S=13.08 X=12.50 log(MN)=0.045 tau=0.655 mkt=0.52 fracheston=0.50 relerr=0.0373 abserr=0.019 ”
[1] “S=13.08 X=15.00 log(MN)=-0.137 tau=0.655 mkt=0.47 fracheston=0.47 relerr=0.0000 abserr=0.000 ”
[1] “CNQR,2003-09-09,2003-09-09,0.0537927241390887,0.0536695096943245,0.998436771539088”
[1] “Stock: FOX”
[1] “Getting stock vol= FOX”
[1] “alpha= 1.33731721651926”
[1] “rho=-0.64 kappa=0.30 sigma=0.34 v0=0.13 vT=0.26”
[1] “Completed calibration for FOX”
[1] “S=21.25 X=17.50 log(MN)=0.194 tau=0.143 mkt=0.41 heston=0.41 relerr=0.0052 abserr=0.002 ”
[1] “S=21.25 X=20.00 log(MN)=0.061 tau=0.143 mkt=0.37 heston=0.38 relerr=0.0253 abserr=0.009 ”
[1] “S=21.25 X=22.50 log(MN)=-0.057 tau=0.143 mkt=0.36 heston=0.36 relerr=0.0192 abserr=0.007 ”
[1] “S=21.25 X=25.00 log(MN)=-0.163 tau=0.143 mkt=0.33 heston=0.34 relerr=0.0405 abserr=0.013 ”
[1] “S=21.25 X=15.00 log(MN)=0.348 tau=0.282 mkt=0.51 heston=0.46 relerr=0.0831 abserr=0.042 ”
[1] “S=21.25 X=17.50 log(MN)=0.194 tau=0.282 mkt=0.42 heston=0.41 relerr=0.0314 abserr=0.013 ”
[1] “S=21.25 X=20.00 log(MN)=0.061 tau=0.282 mkt=0.38 heston=0.38 relerr=0.0022 abserr=0.001 ”
[1] “S=21.25 X=22.50 log(MN)=-0.057 tau=0.282 mkt=0.37 heston=0.36 relerr=0.0391 abserr=0.015 ”
[1] “S=21.25 X=25.00 log(MN)=-0.163 tau=0.282 mkt=0.34 heston=0.34 relerr=0.0001 abserr=0.000 ”
[1] “S=21.25 X=30.00 log(MN)=-0.345 tau=0.282 mkt=0.41 heston=0.32 relerr=0.2140 abserr=0.087 ”
[1] “S=21.25 X=17.50 log(MN)=0.194 tau=0.643 mkt=0.41 heston=0.41 relerr=0.0050 abserr=0.002 ”
[1] “S=21.25 X=20.00 log(MN)=0.061 tau=0.643 mkt=0.38 heston=0.39 relerr=0.0192 abserr=0.007 ”
[1] “S=21.25 X=22.50 log(MN)=-0.057 tau=0.643 mkt=0.36 heston=0.37 relerr=0.0178 abserr=0.006 ”
[1] “S=21.25 X=25.00 log(MN)=-0.163 tau=0.643 mkt=0.36 heston=0.35 relerr=0.0261 abserr=0.009 ”
[1] “S=21.25 X=30.00 log(MN)=-0.345 tau=0.643 mkt=0.32 heston=0.33 relerr=0.0088 abserr=0.003 ”
[1] “In LMHeston comparison alpha= 0.668658608259628”
[1] “S=21.25 X=17.50 log(MN)=0.194 tau=0.143 mkt=0.41 fracheston=0.41 relerr=0.0000 abserr=0.000 ”
[1] “S=21.25 X=20.00 log(MN)=0.061 tau=0.143 mkt=0.37 fracheston=0.38 relerr=0.0253 abserr=0.009 ”
[1] “S=21.25 X=22.50 log(MN)=-0.057 tau=0.143 mkt=0.36 fracheston=0.36 relerr=0.0195 abserr=0.007 ”
[1] “S=21.25 X=25.00 log(MN)=-0.163 tau=0.143 mkt=0.33 fracheston=0.34 relerr=0.0500 abserr=0.016 ”
[1] “S=21.25 X=15.00 log(MN)=0.348 tau=0.282 mkt=0.51 fracheston=0.46 relerr=0.0830 abserr=0.042 ”
[1] “S=21.25 X=17.50 log(MN)=0.194 tau=0.282 mkt=0.42 fracheston=0.41 relerr=0.0270 abserr=0.011 ”
[1] “S=21.25 X=20.00 log(MN)=0.061 tau=0.282 mkt=0.38 fracheston=0.38 relerr=0.0000 abserr=0.000 ”
[1] “S=21.25 X=22.50 log(MN)=-0.057 tau=0.282 mkt=0.37 fracheston=0.36 relerr=0.0428 abserr=0.016 ”
[1] “S=21.25 X=25.00 log(MN)=-0.163 tau=0.282 mkt=0.34 fracheston=0.34 relerr=0.0044 abserr=0.002 ”
[1] “S=21.25 X=30.00 log(MN)=-0.345 tau=0.282 mkt=0.41 fracheston=0.33 relerr=0.1750 abserr=0.071 ”
[1] “S=21.25 X=17.50 log(MN)=0.194 tau=0.643 mkt=0.41 fracheston=0.41 relerr=0.0023 abserr=0.001 ”
[1] “S=21.25 X=20.00 log(MN)=0.061 tau=0.643 mkt=0.38 fracheston=0.38 relerr=0.0061 abserr=0.002 ”
[1] “S=21.25 X=22.50 log(MN)=-0.057 tau=0.643 mkt=0.36 fracheston=0.36 relerr=0.0005 abserr=0.000 ”
[1] “S=21.25 X=25.00 log(MN)=-0.163 tau=0.643 mkt=0.36 fracheston=0.35 relerr=0.0387 abserr=0.014 ”
[1] “S=21.25 X=30.00 log(MN)=-0.345 tau=0.643 mkt=0.32 fracheston=0.34 relerr=0.0372 abserr=0.012 ”
[1] “FOX,2002-02-08,2002-02-08,0.0108642305597736,0.0102048249206596,0.91313766982794”
[1] “Stock: JRCC”
[1] “Getting stock vol= JRCC”
[1] “Stock: CYTR”
[1] “Getting stock vol= CYTR”
[1] “alpha= 1.34114011958842”
[1] “Stock: PM”
[1] “Getting stock vol= PM”
[1] “alpha= 1.3418607427716”
[1] “rho=-0.57 kappa=0.19 sigma=0.43 v0=0.05 vT=0.31”
[1] “Completed calibration for PM”
[1] “S=50.58 X=40.00 log(MN)=0.235 tau=0.183 mkt=0.34 heston=0.34 relerr=0.0035 abserr=0.001 ”
[1] “S=50.58 X=45.00 log(MN)=0.117 tau=0.183 mkt=0.29 heston=0.27 relerr=0.0602 abserr=0.017 ”
[1] “S=50.58 X=50.00 log(MN)=0.012 tau=0.183 mkt=0.23 heston=0.23 relerr=0.0007 abserr=0.000 ”
[1] “S=50.58 X=55.00 log(MN)=-0.084 tau=0.183 mkt=0.22 heston=0.20 relerr=0.0513 abserr=0.011 ”
[1] “S=50.58 X=60.00 log(MN)=-0.171 tau=0.183 mkt=0.23 heston=0.20 relerr=0.1683 abserr=0.039 ”
[1] “S=50.58 X=65.00 log(MN)=-0.251 tau=0.183 mkt=0.28 heston=0.19 relerr=0.3159 abserr=0.090 ”
[1] “S=50.58 X=40.00 log(MN)=0.235 tau=0.321 mkt=0.32 heston=0.32 relerr=0.0186 abserr=0.006 ”
[1] “S=50.58 X=45.00 log(MN)=0.117 tau=0.321 mkt=0.27 heston=0.27 relerr=0.0018 abserr=0.001 ”
[1] “S=50.58 X=50.00 log(MN)=0.012 tau=0.321 mkt=0.23 heston=0.24 relerr=0.0164 abserr=0.004 ”
[1] “S=50.58 X=55.00 log(MN)=-0.084 tau=0.321 mkt=0.21 heston=0.21 relerr=0.0076 abserr=0.002 ”
[1] “S=50.58 X=60.00 log(MN)=-0.171 tau=0.321 mkt=0.20 heston=0.20 relerr=0.0009 abserr=0.000 ”
[1] “S=50.58 X=65.00 log(MN)=-0.251 tau=0.321 mkt=0.24 heston=0.20 relerr=0.1747 abserr=0.042 ”
[1] “S=50.58 X=40.00 log(MN)=0.235 tau=0.683 mkt=0.26 heston=0.32 relerr=0.2379 abserr=0.061 ”
[1] “S=50.58 X=45.00 log(MN)=0.117 tau=0.683 mkt=0.23 heston=0.28 relerr=0.2034 abserr=0.047 ”
[1] “S=50.58 X=50.00 log(MN)=0.012 tau=0.683 mkt=0.22 heston=0.25 relerr=0.1486 abserr=0.032 ”
[1] “S=50.58 X=55.00 log(MN)=-0.084 tau=0.683 mkt=0.21 heston=0.22 relerr=0.0759 abserr=0.016 ”
[1] “S=50.58 X=60.00 log(MN)=-0.171 tau=0.683 mkt=0.19 heston=0.21 relerr=0.0869 abserr=0.017 ”
[1] “S=50.58 X=65.00 log(MN)=-0.251 tau=0.683 mkt=0.21 heston=0.21 relerr=0.0108 abserr=0.002 ”
[1] “In LMHeston comparison alpha= 0.670930371385801”
[1] “S=50.58 X=40.00 log(MN)=0.235 tau=0.183 mkt=0.34 fracheston=0.36 relerr=0.0605 abserr=0.020 ”
[1] “S=50.58 X=45.00 log(MN)=0.117 tau=0.183 mkt=0.29 fracheston=0.29 relerr=0.0091 abserr=0.003 ”
[1] “S=50.58 X=50.00 log(MN)=0.012 tau=0.183 mkt=0.23 fracheston=0.24 relerr=0.0414 abserr=0.010 ”
[1] “S=50.58 X=55.00 log(MN)=-0.084 tau=0.183 mkt=0.22 fracheston=0.21 relerr=0.0216 abserr=0.005 ”
[1] “S=50.58 X=60.00 log(MN)=-0.171 tau=0.183 mkt=0.23 fracheston=0.21 relerr=0.1013 abserr=0.024 ”
[1] “S=50.58 X=65.00 log(MN)=-0.251 tau=0.183 mkt=0.28 fracheston=0.22 relerr=0.2255 abserr=0.064 ”
[1] “S=50.58 X=40.00 log(MN)=0.235 tau=0.321 mkt=0.32 fracheston=0.34 relerr=0.0784 abserr=0.025 ”
[1] “S=50.58 X=45.00 log(MN)=0.117 tau=0.321 mkt=0.27 fracheston=0.28 relerr=0.0431 abserr=0.012 ”
[1] “S=50.58 X=50.00 log(MN)=0.012 tau=0.321 mkt=0.23 fracheston=0.23 relerr=0.0047 abserr=0.001 ”
[1] “S=50.58 X=55.00 log(MN)=-0.084 tau=0.321 mkt=0.21 fracheston=0.20 relerr=0.0374 abserr=0.008 ”
[1] “S=50.58 X=60.00 log(MN)=-0.171 tau=0.321 mkt=0.20 fracheston=0.21 relerr=0.0348 abserr=0.007 ”
[1] “S=50.58 X=65.00 log(MN)=-0.251 tau=0.321 mkt=0.24 fracheston=0.22 relerr=0.0995 abserr=0.024 ”
[1] “S=50.58 X=40.00 log(MN)=0.235 tau=0.683 mkt=0.26 fracheston=0.32 relerr=0.2456 abserr=0.063 ”
[1] “S=50.58 X=45.00 log(MN)=0.117 tau=0.683 mkt=0.23 fracheston=0.25 relerr=0.0688 abserr=0.016 ”
[1] “S=50.58 X=50.00 log(MN)=0.012 tau=0.683 mkt=0.22 fracheston=0.22 relerr=0.0042 abserr=0.001 ”
[1] “S=50.58 X=55.00 log(MN)=-0.084 tau=0.683 mkt=0.21 fracheston=0.19 relerr=0.0933 abserr=0.019 ”
[1] “S=50.58 X=60.00 log(MN)=-0.171 tau=0.683 mkt=0.19 fracheston=0.19 relerr=0.0075 abserr=0.001 ”
[1] “S=50.58 X=65.00 log(MN)=-0.251 tau=0.683 mkt=0.21 fracheston=0.21 relerr=0.0018 abserr=0.000 ”
[1] “PM,2008-04-01,2008-04-01,0.016188576054901,0.0126127170518933,0.561419698915471”

​IMPLEMENTATION OF THE ZULF MODEL:

callLMHestoncf<-function (S, X, tau, r, q, v0, vT, rho, k, sigma, alpha, implVol = FALSE)
{
if (sigma < 0.01)
sigma <- 0.01
P1 <- function(om, S, X, tau, r, q, v0, vT, rho, k, sigma) {
p <- Re(exp(-(0+1i) * log(X) * om) * cfHestonLM(om – (0+1i),
S, tau, r, q, v0, vT, rho, k, sigma)/((0+1i) * om *
S * exp((r – q) * tau)))
p
}
P2 <- function(om, S, X, tau, r, q, v0, vT, rho, k, sigma) {
p <- Re(exp(-(0+1i) * log(X) * om) * cfHestonLM(om, S,
tau, r, q, v0, vT, rho, k, sigma)/((0+1i) * om))
p
}
cfHestonLM <- function(om, S, tau, r, q, v0, vT, rho, k, sigma) {
timescale<-1.0
mlfterm<-python.call(“mlf”,-k*(timescale*tau)^alpha,alpha,1.0)

d <- sqrt((rho * sigma * (0+1i) * om – k)^2 + sigma^2 *
((0+1i) * om + om^2))
g <- (k – rho * sigma * (0+1i) * om – d)/(k – rho * sigma *
(0+1i) * om + d)
cf1 <- (0+1i) * om * (log(S) + (r – q) * tau)
cf2 <- vT * k/(sigma^2) * ((k – rho * sigma * (0+1i) *
om – d) * tau – 2 * log((1 – g * exp(-d * tau))/(1 –
g)))
cf3 <- v0/sigma^2 * (k – rho * sigma * (0+1i) * om –
d) * (1 – exp(-d * tau))/(1 – g * exp(-d * tau))

cf3<-cf3/mlfterm
cf <- exp(cf1 + cf2 + cf3)
cf
}
if (implVol) {
diffPrice <- function(vol, call, S, X, tau, r, q) {
d1 <- (log(S/X) + (r – q + vol^2/2) * tau)/(vol *
sqrt(tau))
d2 <- d1 – vol * sqrt(tau)
callBSM <- S * exp(-q * tau) * pnorm(d1) – X * exp(-r *
tau) * pnorm(d2)
call – callBSM
}
impliedVol <- uniroot(diffPrice, interval = c(1e-04,
2), call = result, S = S, X = X, tau = tau, r = r,
q = q)[[1L]]
result <- list(value = result, impliedVol = impliedVol)
}
result
}

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Subject: THE ZULF OPTION PRICING MODEL: CLOSED FORM LONG MEMORY STOCHASTIC
VOLATILITY SUPERIOR TO HESTON MODEL
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slcooper@illinois.edu, james P <strivergreen@gmail.com>, bm@falconfone.com
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bh=8fIx3VL1smziNmWxCTWePnrIDymUTCZ7rnx/zzF9BcI=;
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boDZUSdS2AKBStzJT0VA/t+s2vDwow9VfN6RlDf4tA8ScuaKgqIjgsMdz65Q0zgcNU6I
386UTwrMqHRGG9n79BcTv+YM3b5DIdYd506bs0cFNnjE19HzJbxD+pGPMR/X26niBhxj
FwuyCWG8Ur2iwFBtsWvTY+Lo1H3+s0lrTcQSyBmUdeAeuoxv3SyO1aVccQacjxwE3+gV
wL7PvRenlapAsHXLdrtlVERxrUCu166WVt89GVPWra11zQYh6iKTPmLgewq9N0HdYrAb
D4xg==
d=1e100.net; s=20130820;
h=x-gm-message-state:mime-version:date:message-id:subject:from:to;
bh=8fIx3VL1smziNmWxCTWePnrIDymUTCZ7rnx/zzF9BcI=;
PUKJiMkHRptRQZ5Lp2ZvK5n4dztHQC9wrFuoY4oyPpnvoBEmYz8THkMsyfR4MxaqwflX
HX/rHL5hnVpgIwR0mIEQRzSrOeypIMpgw2z8tScmBj7bKEQKYWWSGIAu9R4+F5QTJ3N0
FFfIaTE2iq2KJjkZNQMKmQRhJ8T5W1VTDFa5o8dHbk2VUHjNL9pqO7+QHSfh2COEkECv
7XeG6Xsm7I1gnhcOVP247JD2FMJwhRgQkDFmBrqSrp1kSDbbP55Q1TFfBdneakAqtV9Y
5Nfg==

—– Message truncated —–

5:29 PM (3 hours ago)

 to me
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Delivery to the following recipient failed permanently:

—– Message truncated —–

5:29 PM (3 hours ago)

 to me
Translate message
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Delivery to the following recipient failed permanently:

john.beatty@interchange.ubc.ca

Technical details of permanent failure:
Google tried to deliver your message, but it was rejected by the server for the recipient domain interchange.ubc.ca by vma.mail-relay.ubc.ca. [142.103.226.211].

The error that the other server returned was:
550 5.1.1 <john.beatty@interchange.ubc.ca>: Recipient address rejected: undeliverable address: host mx-out.mail-relay.ubc.ca[142.103.226.213] said: 550 5.1.1 <john.beatty@interchange.ubc.ca>: Recipient address rejected: User unknown in virtual alias table (in reply to RCPT TO command)

—– Original message —–

DKIM-Signature: v=1; a=rsa-sha256; c=relaxed/relaxed;
d=gmail.com; s=20120113;
h=mime-version:date:message-id:subject:from:to;
bh=8fIx3VL1smziNmWxCTWePnrIDymUTCZ7rnx/zzF9BcI=;
b=DwahJ8VaFkI+i00p/uCZEJszo0S74udpFJzONzYRh6v4Jd+UCXBUVmrFiut2wzUYrI
boDZUSdS2AKBStzJT0VA/t+s2vDwow9VfN6RlDf4tA8ScuaKgqIjgsMdz65Q0zgcNU6I
386UTwrMqHRGG9n79BcTv+YM3b5DIdYd506bs0cFNnjE19HzJbxD+pGPMR/X26niBhxj
FwuyCWG8Ur2iwFBtsWvTY+Lo1H3+s0lrTcQSyBmUdeAeuoxv3SyO1aVccQacjxwE3+gV
wL7PvRenlapAsHXLdrtlVERxrUCu166WVt89GVPWra11zQYh6iKTPmLgewq9N0HdYrAb
D4xg==
d=1e100.net; s=20130820;
h=x-gm-message-state:mime-version:date:message-id:subject:from:to;
bh=8fIx3VL1smziNmWxCTWePnrIDymUTCZ7rnx/zzF9BcI=;
b=NKIyq/nSKYOKiDOkuNffXQG7U3XkHIKSoQox1oUfiBiHv/xJL60Jfb/PIM7IJHXp6q
cmaVOMB/GUA3mpnNJflFYWDYPZaMqr4aAAAtDkzAEZACbrt74QAgjUdU55YkLcR+MxHL
7RCuN1GYToKQrNDinAM8q8k/zPXDTYDrHms+3clFKMzGR2iGfFpKUe/K0Rt+e8Jxp1LU
xcIu4nzNs/0DTwnBqKqHVw8orIaVuaXb1TR7EGB9G/60NuXwcISve5d4RlJaC24Y5m/u
cxaGEINqBt0IENUDBHvuiFTCF1VxLRt6+smmOxIyqi7CVTd8YiiIy02YPN3lXJOF85ku
b5aQ==

—– Message truncated —–

5:29 PM (3 hours ago)

 to me
Delivery to the following recipient failed permanently:

liy@andrew.cmu.edu

Technical details of permanent failure:
Google tried to deliver your message, but it was rejected by the server for the recipient domain andrew.cmu.edu by andrew-mx-01.andrew.cmu.edu. [128.2.10.117].

The error that the other server returned was:
553 5.3.0 <sg23@andrew.cmu.edu>… The email account that you tried to reach does not exist.  Please try double-checking the recipient’s email address for typos or unnecessary spaces.

—– Original message —–

DKIM-Signature: v=1; a=rsa-sha256; c=relaxed/relaxed;
d=gmail.com; s=20120113;
h=mime-version:date:message-id:subject:from:to;
bh=8fIx3VL1smziNmWxCTWePnrIDymUTCZ7rnx/zzF9BcI=;
b=DwahJ8VaFkI+i00p/uCZEJszo0S74udpFJzONzYRh6v4Jd+UCXBUVmrFiut2wzUYrI
boDZUSdS2AKBStzJT0VA/t+s2vDwow9VfN6RlDf4tA8ScuaKgqIjgsMdz65Q0zgcNU6I
386UTwrMqHRGG9n79BcTv+YM3b5DIdYd506bs0cFNnjE19HzJbxD+pGPMR/X26niBhxj
FwuyCWG8Ur2iwFBtsWvTY+Lo1H3+s0lrTcQSyBmUdeAeuoxv3SyO1aVccQacjxwE3+gV
wL7PvRenlapAsHXLdrtlVERxrUCu166WVt89GVPWra11zQYh6iKTPmLgewq9N0HdYrAb
D4xg==
d=1e100.net; s=20130820;
h=x-gm-message-state:mime-version:date:message-id:subject:from:to;
bh=8fIx3VL1smziNmWxCTWePnrIDymUTCZ7rnx/zzF9BcI=;
b=JGTHx8lq9bcMoU28EcI24ikFU35sLxlSzEl1mAolXuuMjlOOjmBjYc0uHY9274bcwK
7M242bjQe1YDQeJmfapReuVlRr8ou17UdoBfEnbGxWo2Qr/VksTh5h7bD2lYNz4V4UOB
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uKz87Siu6702hjK+vMToO9Dm2+1q0OLZzYPpzSECpPP0yo9qjrZROlzc0M4rsBN+XXE4
fz7w==

—– Message truncated —–

5:29 PM (3 hours ago)

 to me
Translate message
Turn off for: French
Delivery to the following recipient failed permanently:

—– Message truncated —–

5:29 PM (3 hours ago)

 to me
Delivery to the following recipient failed permanently:

—– Message truncated —–

5:29 PM (3 hours ago)

 to me
Delivery to the following recipient failed permanently:

—– Message truncated —–

5:29 PM (3 hours ago)

 to me
Translate message
Turn off for: French
Delivery to the following recipient failed permanently:

—– Message truncated —–

5:29 PM (3 hours ago)

 to me
Delivery to the following recipient failed permanently:

—– Message truncated —–

5:29 PM (3 hours ago)

 to me
Translate message
Turn off for: French
Delivery to the following recipient failed permanently:

—– Message truncated —–

5:29 PM (3 hours ago)

 to me
Translate message
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Delivery to the following recipient failed permanently:

—– Message truncated —–

5:29 PM (3 hours ago)

 to me
Translate message
Turn off for: French
Delivery to the following recipient failed permanently:

mohamed.el-rafie@guc.edu.eg

Technical details of permanent failure:
Google tried to deliver your message, but it was rejected by the server for the recipient domain guc.edu.eg by ironport.guc.edu.eg. [62.241.151.163].

The error that the other server returned was:

—– Original message —–

DKIM-Signature: v=1; a=rsa-sha256; c=relaxed/relaxed;
d=gmail.com; s=20120113;
h=mime-version:date:message-id:subject:from:to;
bh=8fIx3VL1smziNmWxCTWePnrIDymUTCZ7rnx/zzF9BcI=;
b=DwahJ8VaFkI+i00p/uCZEJszo0S74udpFJzONzYRh6v4Jd+UCXBUVmrFiut2wzUYrI
boDZUSdS2AKBStzJT0VA/t+s2vDwow9VfN6RlDf4tA8ScuaKgqIjgsMdz65Q0zgcNU6I
386UTwrMqHRGG9n79BcTv+YM3b5DIdYd506bs0cFNnjE19HzJbxD+pGPMR/X26niBhxj
FwuyCWG8Ur2iwFBtsWvTY+Lo1H3+s0lrTcQSyBmUdeAeuoxv3SyO1aVccQacjxwE3+gV
wL7PvRenlapAsHXLdrtlVERxrUCu166WVt89GVPWra11zQYh6iKTPmLgewq9N0HdYrAb
D4xg==
d=1e100.net; s=20130820;
h=x-gm-message-state:mime-version:date:message-id:subject:from:to;
bh=8fIx3VL1smziNmWxCTWePnrIDymUTCZ7rnx/zzF9BcI=;
PUKJiMkHRptRQZ5Lp2ZvK5n4dztHQC9wrFuoY4oyPpnvoBEmYz8THkMsyfR4MxaqwflX
HX/rHL5hnVpgIwR0mIEQRzSrOeypIMpgw2z8tScmBj7bKEQKYWWSGIAu9R4+F5QTJ3N0
FFfIaTE2iq2KJjkZNQMKmQRhJ8T5W1VTDFa5o8dHbk2VUHjNL9pqO7+QHSfh2COEkECv
7XeG6Xsm7I1gnhcOVP247JD2FMJwhRgQkDFmBrqSrp1kSDbbP55Q1TFfBdneakAqtV9Y
5Nfg==

—– Message truncated —–

5:29 PM (3 hours ago)

 to me
Translate message
Turn off for: French
Delivery to the following recipient failed permanently:

sfli@andrew.cmu.edu

Technical details of permanent failure:
Google tried to deliver your message, but it was rejected by the server for the recipient domain andrew.cmu.edu by andrew-mx-01.andrew.cmu.edu. [128.2.10.117].

The error that the other server returned was:
553 5.3.0 <sg23@andrew.cmu.edu>… The email account that you tried to reach does not exist.  Please try double-checking the recipient’s email address for typos or unnecessary spaces.

—– Original message —–

DKIM-Signature: v=1; a=rsa-sha256; c=relaxed/relaxed;
d=gmail.com; s=20120113;
h=mime-version:date:message-id:subject:from:to;
bh=8fIx3VL1smziNmWxCTWePnrIDymUTCZ7rnx/zzF9BcI=;
b=DwahJ8VaFkI+i00p/uCZEJszo0S74udpFJzONzYRh6v4Jd+UCXBUVmrFiut2wzUYrI
boDZUSdS2AKBStzJT0VA/t+s2vDwow9VfN6RlDf4tA8ScuaKgqIjgsMdz65Q0zgcNU6I
386UTwrMqHRGG9n79BcTv+YM3b5DIdYd506bs0cFNnjE19HzJbxD+pGPMR/X26niBhxj
FwuyCWG8Ur2iwFBtsWvTY+Lo1H3+s0lrTcQSyBmUdeAeuoxv3SyO1aVccQacjxwE3+gV
wL7PvRenlapAsHXLdrtlVERxrUCu166WVt89GVPWra11zQYh6iKTPmLgewq9N0HdYrAb
D4xg==
d=1e100.net; s=20130820;
h=x-gm-message-state:mime-version:date:message-id:subject:from:to;
bh=8fIx3VL1smziNmWxCTWePnrIDymUTCZ7rnx/zzF9BcI=;
b=JGTHx8lq9bcMoU28EcI24ikFU35sLxlSzEl1mAolXuuMjlOOjmBjYc0uHY9274bcwK
7M242bjQe1YDQeJmfapReuVlRr8ou17UdoBfEnbGxWo2Qr/VksTh5h7bD2lYNz4V4UOB
cMhR5oE7ul4+9noVlg6iYUKbrE7SXnbE/sXaMWjyQ711Y3ypKo8ccAme3zmDLbJqGifE
uKz87Siu6702hjK+vMToO9Dm2+1q0OLZzYPpzSECpPP0yo9qjrZROlzc0M4rsBN+XXE4
fz7w==

—– Message truncated —–

5:29 PM (3 hours ago)

 to me
Translate message
Turn off for: French
Delivery to the following recipient failed permanently:

—– Message truncated —–

5:29 PM (3 hours ago)

 to me
Translate message
Turn off for: French
Delivery to the following recipient failed permanently:

Technical details of permanent failure:
Google tried to deliver your message, but it was rejected by the server for the recipient domain guc.edu.eg by ironport.guc.edu.eg. [62.241.151.163].

The error that the other server returned was:

—– Original message —–

DKIM-Signature: v=1; a=rsa-sha256; c=relaxed/relaxed;
d=gmail.com; s=20120113;
h=mime-version:date:message-id:subject:from:to;
bh=8fIx3VL1smziNmWxCTWePnrIDymUTCZ7rnx/zzF9BcI=;
b=DwahJ8VaFkI+i00p/uCZEJszo0S74udpFJzONzYRh6v4Jd+UCXBUVmrFiut2wzUYrI
boDZUSdS2AKBStzJT0VA/t+s2vDwow9VfN6RlDf4tA8ScuaKgqIjgsMdz65Q0zgcNU6I
386UTwrMqHRGG9n79BcTv+YM3b5DIdYd506bs0cFNnjE19HzJbxD+pGPMR/X26niBhxj
FwuyCWG8Ur2iwFBtsWvTY+Lo1H3+s0lrTcQSyBmUdeAeuoxv3SyO1aVccQacjxwE3+gV
wL7PvRenlapAsHXLdrtlVERxrUCu166WVt89GVPWra11zQYh6iKTPmLgewq9N0HdYrAb
D4xg==
d=1e100.net; s=20130820;
h=x-gm-message-state:mime-version:date:message-id:subject:from:to;
bh=8fIx3VL1smziNmWxCTWePnrIDymUTCZ7rnx/zzF9BcI=;
PUKJiMkHRptRQZ5Lp2ZvK5n4dztHQC9wrFuoY4oyPpnvoBEmYz8THkMsyfR4MxaqwflX
HX/rHL5hnVpgIwR0mIEQRzSrOeypIMpgw2z8tScmBj7bKEQKYWWSGIAu9R4+F5QTJ3N0
FFfIaTE2iq2KJjkZNQMKmQRhJ8T5W1VTDFa5o8dHbk2VUHjNL9pqO7+QHSfh2COEkECv
7XeG6Xsm7I1gnhcOVP247JD2FMJwhRgQkDFmBrqSrp1kSDbbP55Q1TFfBdneakAqtV9Y
5Nfg==

—– Message truncated —–

Mail Delivery Subsystem<MAILER-DAEMON@andrew.cmu.edu>

5:29 PM (3 hours ago)

 to me
The original message was received at Tue, 15 Mar 2016 20:29:18 -0400

rstewart@linus.chem.cmu.edu
(reason: 550 Host unknown)
(expanded from: <rstewart@andrew.cmu.edu>)

—– Transcript of session follows —–

Final-Recipient: RFC822; rstewart@andrew.cmu.edu
X-Actual-Recipient: RFC822; rstewart@linus.chem.cmu.edu
Action: failed
Status: 5.1.2
Remote-MTA: DNS; linus.chem.cmu.edu
Diagnostic-Code: SMTP; 550 Host unknown
Last-Attempt-Date: Tue, 15 Mar 2016 20:29:22 -0400

———- Forwarded message ———-
From: “zulfikar.ahmed@gmail.com” <zulfikar.ahmed@gmail.com>
To: jfrenkel@fma.if.usp.br, jhansen@uchicago.edu, jharrington@uchicago.edu, jharris@andrew.cmu.edu, jhp@uchicago.edu, jhricko_4@juno.com, jhs@math.ubc.ca, jhutasoi@andrew.cmu.edu, jianjunp@andrew.cmu.edu, jinha@uchicago.edu, jjbrehm@uchicago.edu, jlind@andrew.cmu.edu, jlondon@uchicago.edu, jlw@jhu.edu, jmateo@uchicago.edu, jmerseth@uchicago.edu, jmetcalf@ucsc.edu, jmg@uchicago.edu, jmogel@ucsc.edu, joel@scipp.ucsc.edu, joelms@andrew.cmu.edu, john.aldrich@vch.ca, john.beatty@interchange.ubc.ca, johncrawford53@hotmail.com, jose.oliveira@dfn.if.usp.br, josesoto@uem.mz, josue@fma.if.usp.br, jpadgett@uchicago.edu, jpbalz@uchicago.edu, jperuma1@jhu.edu, jpino@andrew.cmu.edu, jpitts@uchicago.edu, jpl@stat.cmu.edu, jpmccorm@uchicago.edu, jr67@andrew.cmu.edu, jrsteinb@illinois.edu, js5m@andrew.cmu.edu, js6n@andrew.cmu.edu, jsamuels@ucsc.edu, jthome@andrew.cmu.edu, julia_krause13@hotmail.com, jzal@phas.ubc.ca, kang@uchicago.edu, karu@math.ubc.ca, kbandura@andrew.cmu.edu, kboyd@uchicago.edu, kculp@midway.uchicago.edu, kdhah@ucsc.edu, kebelsduggan@northwestern.edu, keisha@uchicago.edu, keith.miller@bue.edu.eg, kelbyharrison@northwestern.edu, keshet@math.ubc.ca, khaled.alshamouty@guc.edu.eg, khan@uchicago.edu, khosravi@math.ubc.ca, kiefl@triumf.ca, kimberleab@yahoo.com, kiyohara@fge.if.usp.br, kkoch@andrew.cmu.edu, klein@andrew.cmu.edu, kliu@math.ubc.ca, km3b@andrew.cmu.edu, kmoriya@andrew.cmu.edu, kmortens@ucsc.edu, knwoods@cmu.edu, konoplya@fma.if.usp.br, kouslaa@uchicago.edu, kramanan@andrew.cmu.edu, kramkov@andrew.cmu.edu, ksanders@illinois.edu, kunalghosh@cmu.edu, kurnikova@cmu.edu, kwarman@andrew.cmu.edu, kwiat@illinois.edu, kxrobert@ucsc.edu, kzollman@cmu.edu, l-wedeen@uchicago.edu, lamy@if.usp.br, LauraPapish2010@northwestern.edu, laurel@andrew.cmu.edu, lberger@andrew.cmu.edu, lburkhdl@interchange.ubc.ca, lchamon@dfn.if.usp.br, lchristo@andrew.cmu.edu, lesurea@uchicago.edu, levine@psc.edu, levineweinberg@uchicago.edu, lewis@ucsc.edu, lfli@andrew.cmu.edu, lievers1@jhu.edu, limauro@andrew.cmu.edu, lincolnw@andrew.cmu.edu, linda.brown@jhu.edu, liy@andrew.cmu.edu, llinas@andrew.cmu.edu, lpalmer@andrew.cmu.edu, lskarsga@bccancer.bc.ca, lsolum@illinois.edu, luxmi@andrew.cmu.edu, lvuocolo@andrew.cmu.edu, lwright27@jhu.edu, m-mullins@northwestern.edu, m-nayfeh@illinois.edu, m-silverstein@uchicago.edu, m-stone5@illinois.edu, maclean@math.ubc.ca, magro@fma.if.usp.br, magyar@math.ubc.ca, maishamiss@gmail.com, makins@illinois.edu, mandal@andrew.cmu.edu, marchett@if.usp.br, margolis@interchange.ubc.ca, martha_nussbaum@uchicago.edu, math@math.ubc.ca, matsuoka@dfn.if.usp.br, mav@physics.ubc.ca, maxcherem2012@northwestern.edu, maydede@interchange.ubc.ca, mbier@andrew.cmu.edu, mbloom@uchicago.edu, mblum@cmu.edu, mbspencer@uchicago.edu, mbw@illinois.edu, mcdawson@uchicago.edu, meierding@uchicago.edu, mestre@illinois.edu, mfishban@midway.uchicago.edu, mfrise@ucsc.edu, mg0c@andrew.cmu.edu, mghartlie@hotmail.com, mgomes@fma.if.usp.br, mgp@illinois.edu, mgray@andrew.cmu.edu, mharrell@cmu.edu, mhassan@bue.edu.eg, mmuramat@if.usp.br, moborski@andrew.cmu.edu, mohamed.el-rafie@guc.edu.eg, mohammad@andrew.cmu.edu, monteiro@uchicago.edu, moor302@yahoo.com, moore8@andrew.cmu.edu, morris@jhu.edu, mpato@fma.if.usp.br, mriordan@ucsc.edu, mund@fma.if.usp.br, muthu@uchicago.edu, muwenk@andrew.cmu.edu, mweems@andrew.cmu.edu, mwilliams@jhu.edu, n-tarcov@uchicago.edu, nadra.sakr@guc.edu.eg, nagata@math.ubc.ca, narayan@physics.ucsc.edu, nassif@math.ubc.ca, nbaker@andrew.cmu.edu, nelson.carlin@dfn.if.usp.br, ness@math.ubc.ca, neufeld@pha.jhu.edu, nermeen.serag@guc.edu.eg, nguyentrh@northwestern.edu, nhassoun@andrew.cmu.edu, njb@math.ubc.ca, nmisra@andrew.cmu.edu, noelw@andrew.cmu.edu, nsissons@andrew.cmu.edu, o-maksymchuk@northwestern.edu, ocanter@ucsc.edu, oliveira@if.usp.br, omar.karam@bue.edu.eg, p-deutscher@northwestern.edu, pallab@phas.ubc.ca, Paul Roth <paroth@ucsc.edu>, passos@fma.if.usp.br, patrick.leland@jhu.edu, paujaramillo@if.usp.br, paulini@cmu.edu, pbooke@uchicago.edu, pcooke1@andrew.cmu.edu, pdelner1@jhu.edu, pdf@pha.jhu.edu, peirce@math.ubc.ca, pengzhen@andrew.cmu.edu, perkins@math.ubc.ca, peteanu@andrew.cmu.edu, peter@physics.ucsc.edu, peterjludlow@northwestern.edu, peterson@math.ubc.ca, petrov@fma.if.usp.br, pgaraud@soe.ucsc.edu, pikhurko@andrew.cmu.edu, pilchman@ucsc.edu, pisztora@andrew.cmu.edu, piza@fma.if.usp.br, pjguerns@ucsc.edu, pmarkell@uchicago.edu, profkatz@gmail.com, profumo@scipp.ucsc.edu, pshekhar@andrew.cmu.edu, pstojan2@jhu.edu, pvisser@uchicago.edu, randersn@interchange.ubc.ca, rasha.emara@guc.edu.eg, rballari@interchange.ubc.ca, rbett1@jhu.edu, rblock@andrew.cmu.edu, rbriere@andrew.cmu.edu, rcarroll@andrew.cmu.edu, rch@pha.jhu.edu, rclegg@illinois.edu, rcroft@andrew.cmu.edu, rcummins@illinois.edu, reichst@math.ubc.ca, rf51@cmu.edu, rfroese@math.ubc.ca, rgil@andrew.cmu.edu, rgleigh@illinois.edu, rgoel@uchicago.edu, rha@ucsc.edu, richer@astro.ubc.ca, rjasnow@jhu.edu, rjohnson@scipp.ucsc.edu, rk1t@andrew.cmu.edu, rkelanic@uchicago.edu, rkraut1@northwestern.edu, rm1o@andrew.cmu.edu, rm5g@andrew.cmu.edu, rmedelstein@gmail.com, robilotta@dfn.if.usp.br, robtg@ucsc.edu, rolfsen@math.ubc.ca, ronan@jhu.edu, rongchao@andrew.cmu.edu, rose@phas.ubc.ca, roth99@illinois.edu, rscherba@ucsc.edu, rshd@uchicago.edu, rstewart@andrew.cmu.edu, russg@illinois.edu, rutesacate@uem.mz, ruthrichardmoore@comcast.net, rvribas@dfn.if.usp.br, rwestb@jhu.edu, ryan5@jhu.edu, ryanbdoran@northwestern.edu, s-ebelsduggan@northwestern.edu, safaa.bashir@guc.edu.eg, salladin7@aol.com, sanchita@gmail.com, Shelley Anna <sanna@andrew.cmu.edu>, sara@cmu.edu, savitt@interchange.ubc.ca, sbatiuk1@jhu.edu, sbchavel@uchicago.edu, russ@cmphys.phys.cmu.edu, sberrym@interchange.ubc.ca, sbevel@uchicago.edu, scheines@cmu.edu, schneider@cmu.edu, schoetzau@math.ubc.ca, schonbek@ucsc.edu, schulten@illinois.edu, schumacher@ernest.phys.cmu.edu, scoopbd@gmail.com, sdasgup2@ucsc.edu, sef@cs.cmu.edu, sej@uchicago.edu, selvin@illinois.edu, sendsen@cmu.edu, serrede@illinois.edu, sethmayer2014@northwestern.edu, sev@uchicago.edu, sfenner@uchicago.edu, sfli@andrew.cmu.edu, sg23@andrew.cmu.edu, sgalloway@uchicago.edu, sgm@uchicago.edu, sgraul@andrew.cmu.edu, sgross11@jhu.edu, shlomo@andrew.cmu.edu, David Shwayder <shwayder@illinois.edu>, sieg@cmu.edu, simchen@interchange.ubc.ca, simons@andrew.cmu.edu, sisotani@fge.if.usp.br, skoplik1@jhu.edu, slade@math.ubc.ca, slamb@illinois.edu, slater@uchicago.edu, slcooper@illinois.edu, james P <strivergreen@gmail.com>, bm@falconfone.com
Cc:
Date: Tue, 15 Mar 2016 17:29:16 -0700
Subject: THE ZULF OPTION PRICING MODEL: CLOSED FORM LONG MEMORY STOCHASTIC VOLATILITY SUPERIOR TO HESTON MODEL

This is the right parsimonious manner that takes into account long memory in stochastic volatility and retains the closed-form solution of Heston model (but is better fit to actual volatility surfaces).

[1] “Getting stock vol= SWK”
[1] “alpha= 1.33926539730736”
[1] “rho=-0.37 kappa=0.11 sigma=0.78 v0=0.07 vT=0.02”
[1] “Completed calibration for SWK”
[1] “S=43.34 X=30.00 log(MN)=0.368 tau=0.143 mkt=0.51 heston=0.50 relerr=0.0228 abserr=0.012 ”
[1] “S=43.34 X=35.00 log(MN)=0.214 tau=0.143 mkt=0.26 heston=0.37 relerr=0.3917 abserr=0.103 ***”
[1] “S=43.34 X=40.00 log(MN)=0.080 tau=0.143 mkt=0.31 heston=0.29 relerr=0.0552 abserr=0.017 ”
[1] “S=43.34 X=45.00 log(MN)=-0.038 tau=0.143 mkt=0.26 heston=0.25 relerr=0.0397 abserr=0.010 ”
[1] “S=43.34 X=50.00 log(MN)=-0.143 tau=0.143 mkt=0.25 heston=0.25 relerr=0.0084 abserr=0.002 ”
[1] “S=43.34 X=30.00 log(MN)=0.368 tau=0.282 mkt=0.44 heston=0.44 relerr=0.0012 abserr=0.001 ”
[1] “S=43.34 X=35.00 log(MN)=0.214 tau=0.282 mkt=0.29 heston=0.35 relerr=0.1853 abserr=0.054 ”
[1] “S=43.34 X=40.00 log(MN)=0.080 tau=0.282 mkt=0.27 heston=0.28 relerr=0.0486 abserr=0.013 ”
[1] “S=43.34 X=45.00 log(MN)=-0.038 tau=0.282 mkt=0.25 heston=0.24 relerr=0.0581 abserr=0.015 ”
[1] “S=43.34 X=50.00 log(MN)=-0.143 tau=0.282 mkt=0.23 heston=0.24 relerr=0.0504 abserr=0.011 ”
[1] “S=43.34 X=30.00 log(MN)=0.368 tau=0.643 mkt=0.33 heston=0.39 relerr=0.1965 abserr=0.065 ”
[1] “S=43.34 X=35.00 log(MN)=0.214 tau=0.643 mkt=0.30 heston=0.32 relerr=0.0677 abserr=0.020 ”
[1] “S=43.34 X=40.00 log(MN)=0.080 tau=0.643 mkt=0.26 heston=0.26 relerr=0.0001 abserr=0.000 ”
[1] “S=43.34 X=45.00 log(MN)=-0.038 tau=0.643 mkt=0.24 heston=0.22 relerr=0.0947 abserr=0.023 ”
[1] “S=43.34 X=50.00 log(MN)=-0.143 tau=0.643 mkt=0.22 heston=0.22 relerr=0.0003 abserr=0.000 ”
[1] “In LMHeston comparison alpha= 0.669632698653682”
[1] “S=43.34 X=30.00 log(MN)=0.368 tau=0.143 mkt=0.51 fracheston=0.50 relerr=0.0382 abserr=0.020 ”
[1] “S=43.34 X=35.00 log(MN)=0.214 tau=0.143 mkt=0.26 fracheston=0.34 relerr=0.2753 abserr=0.072 ”
[1] “S=43.34 X=40.00 log(MN)=0.080 tau=0.143 mkt=0.31 fracheston=0.27 relerr=0.1136 abserr=0.035 ”
[1] “S=43.34 X=45.00 log(MN)=-0.038 tau=0.143 mkt=0.26 fracheston=0.26 relerr=0.0127 abserr=0.003 ”
[1] “S=43.34 X=50.00 log(MN)=-0.143 tau=0.143 mkt=0.25 fracheston=0.25 relerr=0.0001 abserr=0.000 ”
[1] “S=43.34 X=30.00 log(MN)=0.368 tau=0.282 mkt=0.44 fracheston=0.41 relerr=0.0693 abserr=0.030 ”
[1] “S=43.34 X=35.00 log(MN)=0.214 tau=0.282 mkt=0.29 fracheston=0.31 relerr=0.0612 abserr=0.018 ”
[1] “S=43.34 X=40.00 log(MN)=0.080 tau=0.282 mkt=0.27 fracheston=0.27 relerr=0.0020 abserr=0.001 ”
[1] “S=43.34 X=45.00 log(MN)=-0.038 tau=0.282 mkt=0.25 fracheston=0.25 relerr=0.0040 abserr=0.001 ”
[1] “S=43.34 X=50.00 log(MN)=-0.143 tau=0.282 mkt=0.23 fracheston=0.25 relerr=0.0772 abserr=0.018 ”
[1] “S=43.34 X=30.00 log(MN)=0.368 tau=0.643 mkt=0.33 fracheston=0.35 relerr=0.0692 abserr=0.023 ”
[1] “S=43.34 X=35.00 log(MN)=0.214 tau=0.643 mkt=0.30 fracheston=0.29 relerr=0.0254 abserr=0.008 ”
[1] “S=43.34 X=40.00 log(MN)=0.080 tau=0.643 mkt=0.26 fracheston=0.26 relerr=0.0015 abserr=0.000 ”
[1] “S=43.34 X=45.00 log(MN)=-0.038 tau=0.643 mkt=0.24 fracheston=0.24 relerr=0.0001 abserr=0.000 ”
[1] “S=43.34 X=50.00 log(MN)=-0.143 tau=0.643 mkt=0.22 fracheston=0.23 relerr=0.0603 abserr=0.013 ”
[1] “SWK,2002-02-08,2002-02-08,0.0173124389637729,0.0120968470999045,0.477224748284645”
[1] “Stock: SLF”
[1] “Getting stock vol= SLF”
[1] “Stock: Z”
[1] “Getting stock vol= Z”
[1] “alpha= 1.35291607267611”
[1] “rho=-0.82 kappa=0.55 sigma=0.34 v0=0.16 vT=0.21”
[1] “Completed calibration for Z”
[1] “S=15.10 X=12.50 log(MN)=0.189 tau=0.143 mkt=0.51 heston=0.45 relerr=0.1266 abserr=0.065 ”
[1] “S=15.10 X=15.00 log(MN)=0.007 tau=0.143 mkt=0.41 heston=0.40 relerr=0.0113 abserr=0.005 ”
[1] “S=15.10 X=17.50 log(MN)=-0.148 tau=0.143 mkt=0.37 heston=0.37 relerr=0.0003 abserr=0.000 ”
[1] “S=15.10 X=12.50 log(MN)=0.189 tau=0.393 mkt=0.48 heston=0.44 relerr=0.0777 abserr=0.037 ”
[1] “S=15.10 X=15.00 log(MN)=0.007 tau=0.393 mkt=0.39 heston=0.41 relerr=0.0297 abserr=0.012 ”
[1] “S=15.10 X=17.50 log(MN)=-0.148 tau=0.393 mkt=0.36 heston=0.38 relerr=0.0350 abserr=0.013 ”
[1] “S=15.10 X=12.50 log(MN)=0.189 tau=0.754 mkt=0.44 heston=0.44 relerr=0.0124 abserr=0.005 ”
[1] “S=15.10 X=15.00 log(MN)=0.007 tau=0.754 mkt=0.41 heston=0.41 relerr=0.0103 abserr=0.004 ”
[1] “S=15.10 X=17.50 log(MN)=-0.148 tau=0.754 mkt=0.36 heston=0.38 relerr=0.0637 abserr=0.023 ”
[1] “S=15.10 X=5.00 log(MN)=1.105 tau=1.365 mkt=0.71 heston=0.70 relerr=0.0193 abserr=0.014 ”
[1] “S=15.10 X=10.00 log(MN)=0.412 tau=1.365 mkt=0.49 heston=0.49 relerr=0.0020 abserr=0.001 ”
[1] “S=15.10 X=15.00 log(MN)=0.007 tau=1.365 mkt=0.42 heston=0.41 relerr=0.0171 abserr=0.007 ”
[1] “S=15.10 X=10.00 log(MN)=0.412 tau=2.810 mkt=0.48 heston=0.49 relerr=0.0119 abserr=0.006 ”
[1] “S=15.10 X=15.00 log(MN)=0.007 tau=2.810 mkt=0.42 heston=0.42 relerr=0.0004 abserr=0.000 ”
[1] “S=15.10 X=20.00 log(MN)=-0.281 tau=2.810 mkt=0.39 heston=0.38 relerr=0.0176 abserr=0.007 ”
[1] “In LMHeston comparison alpha= 0.676458036338054”
[1] “S=15.10 X=12.50 log(MN)=0.189 tau=0.143 mkt=0.51 fracheston=0.45 relerr=0.1100 abserr=0.056 ”
[1] “S=15.10 X=15.00 log(MN)=0.007 tau=0.143 mkt=0.41 fracheston=0.41 relerr=0.0071 abserr=0.003 ”
[1] “S=15.10 X=17.50 log(MN)=-0.148 tau=0.143 mkt=0.37 fracheston=0.37 relerr=0.0005 abserr=0.000 ”
[1] “S=15.10 X=12.50 log(MN)=0.189 tau=0.393 mkt=0.48 fracheston=0.45 relerr=0.0537 abserr=0.026 ”
[1] “S=15.10 X=15.00 log(MN)=0.007 tau=0.393 mkt=0.39 fracheston=0.41 relerr=0.0379 abserr=0.015 ”
[1] “S=15.10 X=17.50 log(MN)=-0.148 tau=0.393 mkt=0.36 fracheston=0.38 relerr=0.0358 abserr=0.013 ”
[1] “S=15.10 X=12.50 log(MN)=0.189 tau=0.754 mkt=0.44 fracheston=0.46 relerr=0.0406 abserr=0.018 ”
[1] “S=15.10 X=15.00 log(MN)=0.007 tau=0.754 mkt=0.41 fracheston=0.41 relerr=0.0043 abserr=0.002 ”
[1] “S=15.10 X=17.50 log(MN)=-0.148 tau=0.754 mkt=0.36 fracheston=0.38 relerr=0.0582 abserr=0.021 ”
[1] “S=15.10 X=5.00 log(MN)=1.105 tau=1.365 mkt=0.71 fracheston=0.73 relerr=0.0249 abserr=0.018 ”
[1] “S=15.10 X=10.00 log(MN)=0.412 tau=1.365 mkt=0.49 fracheston=0.51 relerr=0.0497 abserr=0.024 ”
[1] “S=15.10 X=15.00 log(MN)=0.007 tau=1.365 mkt=0.42 fracheston=0.41 relerr=0.0192 abserr=0.008 ”
[1] “S=15.10 X=10.00 log(MN)=0.412 tau=2.810 mkt=0.48 fracheston=0.50 relerr=0.0314 abserr=0.015 ”
[1] “S=15.10 X=15.00 log(MN)=0.007 tau=2.810 mkt=0.42 fracheston=0.41 relerr=0.0221 abserr=0.009 ”
[1] “S=15.10 X=20.00 log(MN)=-0.281 tau=2.810 mkt=0.39 fracheston=0.37 relerr=0.0621 abserr=0.024 ”
[1] “Z,2002-02-08,2002-02-08,0.00944413722707552,0.0120019972617687,0.577869733210704”
[1] “Stock: DFIB”
[1] “Getting stock vol= DFIB”
[1] “Stock: YCC”
[1] “Getting stock vol= YCC”
[1] “Stock: HBI”
[1] “Getting stock vol= HBI”
[1] “alpha= 1.33897936414795”
[1] “rho=-0.65 kappa=0.24 sigma=0.49 v0=0.04 vT=0.28”
[1] “Completed calibration for HBI”
[1] “S=21.11 X=17.50 log(MN)=0.188 tau=0.179 mkt=0.36 heston=0.31 relerr=0.1302 abserr=0.046 ”
[1] “S=21.11 X=20.00 log(MN)=0.054 tau=0.179 mkt=0.23 heston=0.24 relerr=0.0418 abserr=0.010 ”
[1] “S=21.11 X=22.50 log(MN)=-0.064 tau=0.179 mkt=0.19 heston=0.19 relerr=0.0016 abserr=0.000 ”
[1] “S=21.11 X=17.50 log(MN)=0.188 tau=0.540 mkt=0.30 heston=0.30 relerr=0.0096 abserr=0.003 ”
[1] “S=21.11 X=20.00 log(MN)=0.054 tau=0.540 mkt=0.25 heston=0.25 relerr=0.0001 abserr=0.000 ”
[1] “S=21.11 X=22.50 log(MN)=-0.064 tau=0.540 mkt=0.22 heston=0.21 relerr=0.0490 abserr=0.011 ”
[1] “S=21.11 X=17.50 log(MN)=0.188 tau=0.901 mkt=0.31 heston=0.31 relerr=0.0021 abserr=0.001 ”
[1] “S=21.11 X=20.00 log(MN)=0.054 tau=0.901 mkt=0.26 heston=0.26 relerr=0.0252 abserr=0.006 ”
[1] “S=21.11 X=22.50 log(MN)=-0.064 tau=0.901 mkt=0.23 heston=0.23 relerr=0.0001 abserr=0.000 ”
[1] “In LMHeston comparison alpha= 0.669489682073975”
[1] “S=21.11 X=17.50 log(MN)=0.188 tau=0.179 mkt=0.36 fracheston=0.31 relerr=0.1424 abserr=0.051 ”
[1] “S=21.11 X=20.00 log(MN)=0.054 tau=0.179 mkt=0.23 fracheston=0.24 relerr=0.0241 abserr=0.006 ”
[1] “S=21.11 X=22.50 log(MN)=-0.064 tau=0.179 mkt=0.19 fracheston=0.19 relerr=0.0154 abserr=0.003 ”
[1] “S=21.11 X=17.50 log(MN)=0.188 tau=0.540 mkt=0.30 fracheston=0.30 relerr=0.0035 abserr=0.001 ”
[1] “S=21.11 X=20.00 log(MN)=0.054 tau=0.540 mkt=0.25 fracheston=0.25 relerr=0.0000 abserr=0.000 ”
[1] “S=21.11 X=22.50 log(MN)=-0.064 tau=0.540 mkt=0.22 fracheston=0.21 relerr=0.0471 abserr=0.010 ”
[1] “S=21.11 X=17.50 log(MN)=0.188 tau=0.901 mkt=0.31 fracheston=0.31 relerr=0.0001 abserr=0.000 ”
[1] “S=21.11 X=20.00 log(MN)=0.054 tau=0.901 mkt=0.26 fracheston=0.26 relerr=0.0286 abserr=0.007 ”
[1] “S=21.11 X=22.50 log(MN)=-0.064 tau=0.901 mkt=0.23 fracheston=0.23 relerr=0.0019 abserr=0.000 ”
[1] “HBI,2006-09-06,2006-09-06,0.00643848694849572,0.00654763491629094,0.984680571687477”
[1] “Stock: EMN”
[1] “Getting stock vol= EMN”
[1] “alpha= 1.34388800609573”
[1] “rho=0.24 kappa=-0.05 sigma=0.52 v0=0.05 vT=0.18”
[1] “Stock: ACTR”
[1] “Getting stock vol= ACTR”
[1] “Stock: UGI”
[1] “Getting stock vol= UGI”
[1] “alpha= 1.33805836714528”
[1] “rho=-0.67 kappa=0.27 sigma=0.62 v0=0.05 vT=0.09”
[1] “Completed calibration for UGI”
[1] “S=29.85 X=25.00 log(MN)=0.177 tau=0.155 mkt=0.37 heston=0.32 relerr=0.1392 abserr=0.051 ”
[1] “S=29.85 X=30.00 log(MN)=-0.005 tau=0.155 mkt=0.21 heston=0.21 relerr=0.0061 abserr=0.001 ”
[1] “S=29.85 X=35.00 log(MN)=-0.159 tau=0.155 mkt=0.23 heston=0.19 relerr=0.1919 abserr=0.045 ”
[1] “S=29.85 X=25.00 log(MN)=0.177 tau=0.516 mkt=0.27 heston=0.29 relerr=0.0714 abserr=0.019 ”
[1] “S=29.85 X=30.00 log(MN)=-0.005 tau=0.516 mkt=0.20 heston=0.20 relerr=0.0012 abserr=0.000 ”
[1] “S=29.85 X=35.00 log(MN)=-0.159 tau=0.516 mkt=0.19 heston=0.16 relerr=0.1377 abserr=0.026 ”
[1] “S=29.85 X=40.00 log(MN)=-0.293 tau=0.516 mkt=0.25 heston=0.18 relerr=0.2876 abserr=0.071 ”
[1] “S=29.85 X=25.00 log(MN)=0.177 tau=0.877 mkt=0.23 heston=0.28 relerr=0.2322 abserr=0.052 ”
[1] “S=29.85 X=30.00 log(MN)=-0.005 tau=0.877 mkt=0.19 heston=0.19 relerr=0.0446 abserr=0.008 ”
[1] “S=29.85 X=35.00 log(MN)=-0.159 tau=0.877 mkt=0.18 heston=0.16 relerr=0.1201 abserr=0.021 ”
[1] “In LMHeston comparison alpha= 0.669029183572641”
[1] “S=29.85 X=25.00 log(MN)=0.177 tau=0.155 mkt=0.37 fracheston=0.34 relerr=0.0733 abserr=0.027 ”
[1] “S=29.85 X=30.00 log(MN)=-0.005 tau=0.155 mkt=0.21 fracheston=0.22 relerr=0.0496 abserr=0.011 ”
[1] “S=29.85 X=35.00 log(MN)=-0.159 tau=0.155 mkt=0.23 fracheston=0.23 relerr=0.0000 abserr=0.000 ”
[1] “S=29.85 X=25.00 log(MN)=0.177 tau=0.516 mkt=0.27 fracheston=0.29 relerr=0.0785 abserr=0.021 ”
[1] “S=29.85 X=30.00 log(MN)=-0.005 tau=0.516 mkt=0.20 fracheston=0.18 relerr=0.0883 abserr=0.018 ”
[1] “S=29.85 X=35.00 log(MN)=-0.159 tau=0.516 mkt=0.19 fracheston=0.20 relerr=0.0766 abserr=0.014 ”
[1] “S=29.85 X=40.00 log(MN)=-0.293 tau=0.516 mkt=0.25 fracheston=0.24 relerr=0.0107 abserr=0.003 ”
[1] “S=29.85 X=25.00 log(MN)=0.177 tau=0.877 mkt=0.23 fracheston=0.26 relerr=0.1584 abserr=0.036 ”
[1] “S=29.85 X=30.00 log(MN)=-0.005 tau=0.877 mkt=0.19 fracheston=0.16 relerr=0.1543 abserr=0.029 ”
[1] “S=29.85 X=35.00 log(MN)=-0.159 tau=0.877 mkt=0.18 fracheston=0.18 relerr=0.0000 abserr=0.000 ”
[1] “UGI,2003-09-09,2003-09-09,0.0197046982371611,0.0105176995254735,0.205657538044838”
[1] “Stock: AMP”
[1] “Getting stock vol= AMP”
^C
[1] “Stock,StartDate,FinishDate,HestonMean,fracHestonMean,TtestPValue”
[1] “Stock: MIL”
[1] “Getting stock vol= MIL”
[1] “alpha= 1.34531914325315”
[1] “rho=-0.57 kappa=0.09 sigma=0.30 v0=0.07 vT=0.45”
[1] “Completed calibration for MIL”
[1] “S=51.53 X=50.00 log(MN)=0.030 tau=0.143 mkt=0.27 heston=0.27 relerr=0.0184 abserr=0.005 ”
[1] “S=51.53 X=55.00 log(MN)=-0.065 tau=0.143 mkt=0.23 heston=0.25 relerr=0.0751 abserr=0.017 ”
[1] “S=51.53 X=60.00 log(MN)=-0.152 tau=0.143 mkt=0.25 heston=0.24 relerr=0.0610 abserr=0.015 ”
[1] “S=51.53 X=45.00 log(MN)=0.136 tau=0.282 mkt=0.30 heston=0.30 relerr=0.0008 abserr=0.000 ”
[1] “S=51.53 X=50.00 log(MN)=0.030 tau=0.282 mkt=0.28 heston=0.27 relerr=0.0139 abserr=0.004 ”
[1] “S=51.53 X=55.00 log(MN)=-0.065 tau=0.282 mkt=0.25 heston=0.26 relerr=0.0353 abserr=0.009 ”
[1] “S=51.53 X=60.00 log(MN)=-0.152 tau=0.282 mkt=0.24 heston=0.24 relerr=0.0246 abserr=0.006 ”
[1] “S=51.53 X=65.00 log(MN)=-0.232 tau=0.282 mkt=0.27 heston=0.23 relerr=0.1300 abserr=0.035 ”
[1] “S=51.53 X=70.00 log(MN)=-0.306 tau=0.282 mkt=0.31 heston=0.23 relerr=0.2679 abserr=0.084 ”
[1] “S=51.53 X=45.00 log(MN)=0.136 tau=0.643 mkt=0.31 heston=0.31 relerr=0.0043 abserr=0.001 ”
[1] “S=51.53 X=50.00 log(MN)=0.030 tau=0.643 mkt=0.28 heston=0.28 relerr=0.0042 abserr=0.001 ”
[1] “S=51.53 X=55.00 log(MN)=-0.065 tau=0.643 mkt=0.26 heston=0.27 relerr=0.0046 abserr=0.001 ”
[1] “S=51.53 X=60.00 log(MN)=-0.152 tau=0.643 mkt=0.25 heston=0.25 relerr=0.0084 abserr=0.002 ”
[1] “S=51.53 X=65.00 log(MN)=-0.232 tau=0.643 mkt=0.24 heston=0.24 relerr=0.0029 abserr=0.001 ”
[1] “S=51.53 X=70.00 log(MN)=-0.306 tau=0.643 mkt=0.23 heston=0.24 relerr=0.0267 abserr=0.006 ”
[1] “S=51.53 X=40.00 log(MN)=0.253 tau=1.365 mkt=0.35 heston=0.35 relerr=0.0175 abserr=0.006 ”
[1] “S=51.53 X=50.00 log(MN)=0.030 tau=1.365 mkt=0.30 heston=0.30 relerr=0.0188 abserr=0.006 ”
[1] “S=51.53 X=60.00 log(MN)=-0.152 tau=1.365 mkt=0.28 heston=0.27 relerr=0.0281 abserr=0.008 ”
[1] “S=51.53 X=65.00 log(MN)=-0.232 tau=1.365 mkt=0.26 heston=0.26 relerr=0.0132 abserr=0.004 ”
[1] “S=51.53 X=40.00 log(MN)=0.253 tau=2.810 mkt=0.36 heston=0.37 relerr=0.0373 abserr=0.013 ”
[1] “S=51.53 X=50.00 log(MN)=0.030 tau=2.810 mkt=0.33 heston=0.33 relerr=0.0000 abserr=0.000 ”
[1] “S=51.53 X=60.00 log(MN)=-0.152 tau=2.810 mkt=0.30 heston=0.31 relerr=0.0178 abserr=0.005 ”
[1] “S=51.53 X=70.00 log(MN)=-0.306 tau=2.810 mkt=0.29 heston=0.29 relerr=0.0064 abserr=0.002 ”
[1] “S=51.53 X=80.00 log(MN)=-0.440 tau=2.810 mkt=0.28 heston=0.28 relerr=0.0004 abserr=0.000 ”
[1] “In LMHeston comparison alpha= 0.672659571626576”
[1] “S=51.53 X=50.00 log(MN)=0.030 tau=0.143 mkt=0.27 fracheston=0.27 relerr=0.0279 abserr=0.008 ”
[1] “S=51.53 X=55.00 log(MN)=-0.065 tau=0.143 mkt=0.23 fracheston=0.25 relerr=0.0543 abserr=0.013 ”
[1] “S=51.53 X=60.00 log(MN)=-0.152 tau=0.143 mkt=0.25 fracheston=0.24 relerr=0.0586 abserr=0.015 ”
[1] “S=51.53 X=45.00 log(MN)=0.136 tau=0.282 mkt=0.30 fracheston=0.30 relerr=0.0146 abserr=0.004 ”
[1] “S=51.53 X=50.00 log(MN)=0.030 tau=0.282 mkt=0.28 fracheston=0.27 relerr=0.0198 abserr=0.006 ”
[1] “S=51.53 X=55.00 log(MN)=-0.065 tau=0.282 mkt=0.25 fracheston=0.25 relerr=0.0196 abserr=0.005 ”
[1] “S=51.53 X=60.00 log(MN)=-0.152 tau=0.282 mkt=0.24 fracheston=0.24 relerr=0.0298 abserr=0.007 ”
[1] “S=51.53 X=65.00 log(MN)=-0.232 tau=0.282 mkt=0.27 fracheston=0.24 relerr=0.0918 abserr=0.025 ”
[1] “S=51.53 X=70.00 log(MN)=-0.306 tau=0.282 mkt=0.31 fracheston=0.25 relerr=0.2077 abserr=0.065 ”
[1] “S=51.53 X=45.00 log(MN)=0.136 tau=0.643 mkt=0.31 fracheston=0.31 relerr=0.0085 abserr=0.003 ”
[1] “S=51.53 X=50.00 log(MN)=0.030 tau=0.643 mkt=0.28 fracheston=0.28 relerr=0.0000 abserr=0.000 ”
[1] “S=51.53 X=55.00 log(MN)=-0.065 tau=0.643 mkt=0.26 fracheston=0.26 relerr=0.0063 abserr=0.002 ”
[1] “S=51.53 X=60.00 log(MN)=-0.152 tau=0.643 mkt=0.25 fracheston=0.25 relerr=0.0017 abserr=0.000 ”
[1] “S=51.53 X=65.00 log(MN)=-0.232 tau=0.643 mkt=0.24 fracheston=0.25 relerr=0.0392 abserr=0.009 ”
[1] “S=51.53 X=70.00 log(MN)=-0.306 tau=0.643 mkt=0.23 fracheston=0.25 relerr=0.0993 abserr=0.023 ”
[1] “S=51.53 X=40.00 log(MN)=0.253 tau=1.365 mkt=0.35 fracheston=0.35 relerr=0.0011 abserr=0.000 ”
[1] “S=51.53 X=50.00 log(MN)=0.030 tau=1.365 mkt=0.30 fracheston=0.30 relerr=0.0118 abserr=0.003 ”
[1] “S=51.53 X=60.00 log(MN)=-0.152 tau=1.365 mkt=0.28 fracheston=0.27 relerr=0.0299 abserr=0.008 ”
[1] “S=51.53 X=65.00 log(MN)=-0.232 tau=1.365 mkt=0.26 fracheston=0.27 relerr=0.0037 abserr=0.001 ”
[1] “S=51.53 X=40.00 log(MN)=0.253 tau=2.810 mkt=0.36 fracheston=0.37 relerr=0.0300 abserr=0.011 ”
[1] “S=51.53 X=50.00 log(MN)=0.030 tau=2.810 mkt=0.33 fracheston=0.33 relerr=0.0204 abserr=0.007 ”
[1] “S=51.53 X=60.00 log(MN)=-0.152 tau=2.810 mkt=0.30 fracheston=0.30 relerr=0.0018 abserr=0.001 ”
[1] “S=51.53 X=70.00 log(MN)=-0.306 tau=2.810 mkt=0.29 fracheston=0.29 relerr=0.0071 abserr=0.002 ”
[1] “S=51.53 X=80.00 log(MN)=-0.440 tau=2.810 mkt=0.28 fracheston=0.29 relerr=0.0272 abserr=0.008 ”
[1] “MIL,2002-02-08,2002-02-08,0.00826741015523922,0.00801169750506851,0.948843089552889”
[1] “Stock: GZTC”
[1] “Getting stock vol= GZTC”
[1] “Stock: RMC”
[1] “Getting stock vol= RMC”
[1] “Stock: HWAY”
[1] “Getting stock vol= HWAY”
[1] “alpha= 1.3406244760644”
[1] “rho=-0.71 kappa=0.25 sigma=0.49 v0=0.11 vT=0.24”
[1] “Completed calibration for HWAY”
[1] “S=45.22 X=40.00 log(MN)=0.123 tau=0.175 mkt=0.38 heston=0.38 relerr=0.0000 abserr=0.000 ”
[1] “S=45.22 X=45.00 log(MN)=0.005 tau=0.175 mkt=0.33 heston=0.34 relerr=0.0550 abserr=0.018 ”
[1] “S=45.22 X=50.00 log(MN)=-0.100 tau=0.175 mkt=0.29 heston=0.31 relerr=0.0686 abserr=0.020 ”
[1] “S=45.22 X=35.00 log(MN)=0.256 tau=0.425 mkt=0.44 heston=0.42 relerr=0.0599 abserr=0.027 ”
[1] “S=45.22 X=40.00 log(MN)=0.123 tau=0.425 mkt=0.39 heston=0.38 relerr=0.0273 abserr=0.011 ”
[1] “S=45.22 X=45.00 log(MN)=0.005 tau=0.425 mkt=0.35 heston=0.34 relerr=0.0101 abserr=0.004 ”
[1] “S=45.22 X=50.00 log(MN)=-0.100 tau=0.425 mkt=0.32 heston=0.31 relerr=0.0257 abserr=0.008 ”
[1] “S=45.22 X=40.00 log(MN)=0.123 tau=0.786 mkt=0.37 heston=0.38 relerr=0.0091 abserr=0.003 ”
[1] “S=45.22 X=45.00 log(MN)=0.005 tau=0.786 mkt=0.34 heston=0.34 relerr=0.0032 abserr=0.001 ”
[1] “S=45.22 X=50.00 log(MN)=-0.100 tau=0.786 mkt=0.31 heston=0.31 relerr=0.0000 abserr=0.000 ”
[1] “S=45.22 X=55.00 log(MN)=-0.196 tau=0.786 mkt=0.30 heston=0.29 relerr=0.0333 abserr=0.010 ”
[1] “In LMHeston comparison alpha= 0.670312238032199”
[1] “S=45.22 X=40.00 log(MN)=0.123 tau=0.175 mkt=0.38 fracheston=0.38 relerr=0.0000 abserr=0.000 ”
[1] “S=45.22 X=45.00 log(MN)=0.005 tau=0.175 mkt=0.33 fracheston=0.34 relerr=0.0525 abserr=0.017 ”
[1] “S=45.22 X=50.00 log(MN)=-0.100 tau=0.175 mkt=0.29 fracheston=0.32 relerr=0.0752 abserr=0.022 ”
[1] “S=45.22 X=35.00 log(MN)=0.256 tau=0.425 mkt=0.44 fracheston=0.42 relerr=0.0515 abserr=0.023 ”
[1] “S=45.22 X=40.00 log(MN)=0.123 tau=0.425 mkt=0.39 fracheston=0.38 relerr=0.0234 abserr=0.009 ”
[1] “S=45.22 X=45.00 log(MN)=0.005 tau=0.425 mkt=0.35 fracheston=0.34 relerr=0.0097 abserr=0.003 ”
[1] “S=45.22 X=50.00 log(MN)=-0.100 tau=0.425 mkt=0.32 fracheston=0.32 relerr=0.0182 abserr=0.006 ”
[1] “S=45.22 X=40.00 log(MN)=0.123 tau=0.786 mkt=0.37 fracheston=0.38 relerr=0.0108 abserr=0.004 ”
[1] “S=45.22 X=45.00 log(MN)=0.005 tau=0.786 mkt=0.34 fracheston=0.34 relerr=0.0000 abserr=0.000 ”
[1] “S=45.22 X=50.00 log(MN)=-0.100 tau=0.786 mkt=0.31 fracheston=0.32 relerr=0.0028 abserr=0.001 ”
[1] “S=45.22 X=55.00 log(MN)=-0.196 tau=0.786 mkt=0.30 fracheston=0.30 relerr=0.0063 abserr=0.002 ”
[1] “HWAY,2006-02-02,2006-02-02,0.00676481258106204,0.00580611069326588,0.758010871058584”
[1] “Stock: GZMO”
[1] “Getting stock vol= GZMO”
[1] “Stock: WTW”
[1] “Getting stock vol= WTW”
[1] “alpha= 1.34627351158804”
[1] “rho=-0.57 kappa=0.19 sigma=0.56 v0=0.09 vT=0.21”
[1] “Completed calibration for WTW”
[1] “S=46.00 X=35.00 log(MN)=0.273 tau=0.202 mkt=0.43 heston=0.41 relerr=0.0429 abserr=0.018 ”
[1] “S=46.00 X=40.00 log(MN)=0.140 tau=0.202 mkt=0.36 heston=0.35 relerr=0.0336 abserr=0.012 ”
[1] “S=46.00 X=45.00 log(MN)=0.022 tau=0.202 mkt=0.30 heston=0.31 relerr=0.0383 abserr=0.011 ”
[1] “S=46.00 X=50.00 log(MN)=-0.083 tau=0.202 mkt=0.27 heston=0.28 relerr=0.0559 abserr=0.015 ”
[1] “S=46.00 X=55.00 log(MN)=-0.179 tau=0.202 mkt=0.25 heston=0.26 relerr=0.0702 abserr=0.017 ”
[1] “S=46.00 X=35.00 log(MN)=0.273 tau=0.425 mkt=0.38 heston=0.39 relerr=0.0248 abserr=0.010 ”
[1] “S=46.00 X=40.00 log(MN)=0.140 tau=0.425 mkt=0.35 heston=0.35 relerr=0.0000 abserr=0.000 ”
[1] “S=46.00 X=45.00 log(MN)=0.022 tau=0.425 mkt=0.31 heston=0.31 relerr=0.0008 abserr=0.000 ”
[1] “S=46.00 X=50.00 log(MN)=-0.083 tau=0.425 mkt=0.28 heston=0.28 relerr=0.0053 abserr=0.001 ”
[1] “S=46.00 X=55.00 log(MN)=-0.179 tau=0.425 mkt=0.27 heston=0.26 relerr=0.0169 abserr=0.004 ”
[1] “S=46.00 X=35.00 log(MN)=0.273 tau=0.786 mkt=0.39 heston=0.38 relerr=0.0055 abserr=0.002 ”
[1] “S=46.00 X=40.00 log(MN)=0.140 tau=0.786 mkt=0.33 heston=0.34 relerr=0.0199 abserr=0.007 ”
[1] “S=46.00 X=45.00 log(MN)=0.022 tau=0.786 mkt=0.31 heston=0.30 relerr=0.0195 abserr=0.006 ”
[1] “S=46.00 X=50.00 log(MN)=-0.083 tau=0.786 mkt=0.29 heston=0.27 relerr=0.0542 abserr=0.016 ”
[1] “S=46.00 X=55.00 log(MN)=-0.179 tau=0.786 mkt=0.26 heston=0.26 relerr=0.0263 abserr=0.007 ”
[1] “In LMHeston comparison alpha= 0.673136755794019”
[1] “S=46.00 X=35.00 log(MN)=0.273 tau=0.202 mkt=0.43 fracheston=0.40 relerr=0.0596 abserr=0.026 ”
[1] “S=46.00 X=40.00 log(MN)=0.140 tau=0.202 mkt=0.36 fracheston=0.34 relerr=0.0591 abserr=0.021 ”
[1] “S=46.00 X=45.00 log(MN)=0.022 tau=0.202 mkt=0.30 fracheston=0.30 relerr=0.0035 abserr=0.001 ”
[1] “S=46.00 X=50.00 log(MN)=-0.083 tau=0.202 mkt=0.27 fracheston=0.27 relerr=0.0077 abserr=0.002 ”
[1] “S=46.00 X=55.00 log(MN)=-0.179 tau=0.202 mkt=0.25 fracheston=0.25 relerr=0.0061 abserr=0.002 ”
[1] “S=46.00 X=35.00 log(MN)=0.273 tau=0.425 mkt=0.38 fracheston=0.39 relerr=0.0198 abserr=0.008 ”
[1] “S=46.00 X=40.00 log(MN)=0.140 tau=0.425 mkt=0.35 fracheston=0.35 relerr=0.0037 abserr=0.001 ”
[1] “S=46.00 X=45.00 log(MN)=0.022 tau=0.425 mkt=0.31 fracheston=0.31 relerr=0.0022 abserr=0.001 ”
[1] “S=46.00 X=50.00 log(MN)=-0.083 tau=0.425 mkt=0.28 fracheston=0.28 relerr=0.0029 abserr=0.001 ”
[1] “S=46.00 X=55.00 log(MN)=-0.179 tau=0.425 mkt=0.27 fracheston=0.26 relerr=0.0368 abserr=0.010 ”
[1] “S=46.00 X=35.00 log(MN)=0.273 tau=0.786 mkt=0.39 fracheston=0.39 relerr=0.0136 abserr=0.005 ”
[1] “S=46.00 X=40.00 log(MN)=0.140 tau=0.786 mkt=0.33 fracheston=0.35 relerr=0.0486 abserr=0.016 ”
[1] “S=46.00 X=45.00 log(MN)=0.022 tau=0.786 mkt=0.31 fracheston=0.32 relerr=0.0167 abserr=0.005 ”
[1] “S=46.00 X=50.00 log(MN)=-0.083 tau=0.786 mkt=0.29 fracheston=0.29 relerr=0.0170 abserr=0.005 ”
[1] “S=46.00 X=55.00 log(MN)=-0.179 tau=0.786 mkt=0.26 fracheston=0.26 relerr=0.0001 abserr=0.000 ”
[1] “WTW,2003-01-02,2003-01-02,0.00638029909614255,0.00517242431119254,0.593168488306217”
[1] “Stock: STEL”
[1] “Getting stock vol= STEL”
[1] “Stock: AVID”
[1] “Getting stock vol= AVID”
[1] “alpha= 1.34609954044104”
[1] “Stock: ATW”
[1] “Getting stock vol= ATW”
[1] “alpha= 1.33427544025822”
[1] “rho=-0.59 kappa=0.34 sigma=0.30 v0=0.10 vT=0.29”
[1] “Completed calibration for ATW”
[1] “S=37.00 X=25.00 log(MN)=0.392 tau=0.143 mkt=0.45 heston=0.53 relerr=0.1869 abserr=0.083 ”
[1] “S=37.00 X=30.00 log(MN)=0.210 tau=0.143 mkt=0.38 heston=0.39 relerr=0.0056 abserr=0.002 ”
[1] “S=37.00 X=35.00 log(MN)=0.056 tau=0.143 mkt=0.36 heston=0.34 relerr=0.0414 abserr=0.015 ”
[1] “S=37.00 X=22.50 log(MN)=0.497 tau=0.282 mkt=0.44 heston=0.53 relerr=0.1937 abserr=0.086 ”
[1] “S=37.00 X=25.00 log(MN)=0.392 tau=0.282 mkt=0.44 heston=0.46 relerr=0.0409 abserr=0.018 ”
[1] “S=37.00 X=30.00 log(MN)=0.210 tau=0.282 mkt=0.39 heston=0.38 relerr=0.0280 abserr=0.011 ”
[1] “S=37.00 X=35.00 log(MN)=0.056 tau=0.282 mkt=0.35 heston=0.35 relerr=0.0149 abserr=0.005 ”
[1] “S=37.00 X=40.00 log(MN)=-0.078 tau=0.282 mkt=0.33 heston=0.33 relerr=0.0001 abserr=0.000 ”
[1] “S=37.00 X=25.00 log(MN)=0.392 tau=0.643 mkt=0.43 heston=0.43 relerr=0.0001 abserr=0.000 ”
[1] “S=37.00 X=30.00 log(MN)=0.210 tau=0.643 mkt=0.40 heston=0.39 relerr=0.0159 abserr=0.006 ”
[1] “S=37.00 X=35.00 log(MN)=0.056 tau=0.643 mkt=0.36 heston=0.36 relerr=0.0000 abserr=0.000 ”
[1] “S=37.00 X=40.00 log(MN)=-0.078 tau=0.643 mkt=0.32 heston=0.34 relerr=0.0541 abserr=0.018 ”
[1] “In LMHeston comparison alpha= 0.66713772012911”
[1] “S=37.00 X=25.00 log(MN)=0.392 tau=0.143 mkt=0.45 fracheston=0.53 relerr=0.1952 abserr=0.087 ”
[1] “S=37.00 X=30.00 log(MN)=0.210 tau=0.143 mkt=0.38 fracheston=0.40 relerr=0.0295 abserr=0.011 ”
[1] “S=37.00 X=35.00 log(MN)=0.056 tau=0.143 mkt=0.36 fracheston=0.35 relerr=0.0354 abserr=0.013 ”
[1] “S=37.00 X=22.50 log(MN)=0.497 tau=0.282 mkt=0.44 fracheston=0.52 relerr=0.1757 abserr=0.078 ”
[1] “S=37.00 X=25.00 log(MN)=0.392 tau=0.282 mkt=0.44 fracheston=0.47 relerr=0.0687 abserr=0.030 ”
[1] “S=37.00 X=30.00 log(MN)=0.210 tau=0.282 mkt=0.39 fracheston=0.39 relerr=0.0001 abserr=0.000 ”
[1] “S=37.00 X=35.00 log(MN)=0.056 tau=0.282 mkt=0.35 fracheston=0.35 relerr=0.0043 abserr=0.002 ”
[1] “S=37.00 X=40.00 log(MN)=-0.078 tau=0.282 mkt=0.33 fracheston=0.33 relerr=0.0074 abserr=0.002 ”
[1] “S=37.00 X=25.00 log(MN)=0.392 tau=0.643 mkt=0.43 fracheston=0.45 relerr=0.0388 abserr=0.017 ”
[1] “S=37.00 X=30.00 log(MN)=0.210 tau=0.643 mkt=0.40 fracheston=0.40 relerr=0.0103 abserr=0.004 ”
[1] “S=37.00 X=35.00 log(MN)=0.056 tau=0.643 mkt=0.36 fracheston=0.36 relerr=0.0067 abserr=0.002 ”
[1] “S=37.00 X=40.00 log(MN)=-0.078 tau=0.643 mkt=0.32 fracheston=0.34 relerr=0.0417 abserr=0.014 ”
[1] “ATW,2002-02-08,2002-02-08,0.0143488347091413,0.0152702111883542,0.920986260759563”
[1] “Stock: FTUS”
[1] “Getting stock vol= FTUS”
[1] “Stock: SKT”
[1] “Getting stock vol= SKT”
[1] “alpha= 1.34004109419911”
[1] “rho=-0.73 kappa=0.38 sigma=0.36 v0=0.12 vT=0.01”
[1] “Completed calibration for SKT”
[1] “S=35.80 X=35.00 log(MN)=0.023 tau=0.202 mkt=0.35 heston=0.34 relerr=0.0193 abserr=0.007 ”
[1] “S=35.80 X=40.00 log(MN)=-0.111 tau=0.202 mkt=0.32 heston=0.32 relerr=0.0071 abserr=0.002 ”
[1] “S=35.80 X=45.00 log(MN)=-0.229 tau=0.202 mkt=0.31 heston=0.29 relerr=0.0730 abserr=0.023 ”
[1] “S=35.80 X=35.00 log(MN)=0.023 tau=0.341 mkt=0.34 heston=0.34 relerr=0.0126 abserr=0.004 ”
[1] “S=35.80 X=40.00 log(MN)=-0.111 tau=0.341 mkt=0.31 heston=0.31 relerr=0.0112 abserr=0.003 ”
[1] “S=35.80 X=45.00 log(MN)=-0.229 tau=0.341 mkt=0.28 heston=0.28 relerr=0.0327 abserr=0.009 ”
[1] “S=35.80 X=35.00 log(MN)=0.023 tau=0.702 mkt=0.32 heston=0.33 relerr=0.0261 abserr=0.008 ”
[1] “S=35.80 X=40.00 log(MN)=-0.111 tau=0.702 mkt=0.30 heston=0.30 relerr=0.0038 abserr=0.001 ”
[1] “S=35.80 X=45.00 log(MN)=-0.229 tau=0.702 mkt=0.27 heston=0.27 relerr=0.0002 abserr=0.000 ”
[1] “In LMHeston comparison alpha= 0.670020547099553”
[1] “S=35.80 X=35.00 log(MN)=0.023 tau=0.202 mkt=0.35 fracheston=0.35 relerr=0.0000 abserr=0.000 ”
[1] “S=35.80 X=40.00 log(MN)=-0.111 tau=0.202 mkt=0.32 fracheston=0.32 relerr=0.0025 abserr=0.001 ”
[1] “S=35.80 X=45.00 log(MN)=-0.229 tau=0.202 mkt=0.31 fracheston=0.30 relerr=0.0317 abserr=0.010 ”
[1] “S=35.80 X=35.00 log(MN)=0.023 tau=0.341 mkt=0.34 fracheston=0.34 relerr=0.0203 abserr=0.007 ”
[1] “S=35.80 X=40.00 log(MN)=-0.111 tau=0.341 mkt=0.31 fracheston=0.31 relerr=0.0000 abserr=0.000 ”
[1] “S=35.80 X=45.00 log(MN)=-0.229 tau=0.341 mkt=0.28 fracheston=0.29 relerr=0.0703 abserr=0.019 ”
[1] “S=35.80 X=35.00 log(MN)=0.023 tau=0.702 mkt=0.32 fracheston=0.32 relerr=0.0000 abserr=0.000 ”
[1] “S=35.80 X=40.00 log(MN)=-0.111 tau=0.702 mkt=0.30 fracheston=0.28 relerr=0.0507 abserr=0.015 ”
[1] “S=35.80 X=45.00 log(MN)=-0.229 tau=0.702 mkt=0.27 fracheston=0.27 relerr=0.0190 abserr=0.005 ”
[1] “SKT,2008-06-26,2008-06-26,0.00528610422291484,0.00518979503747534,0.973870683243455”
[1] “Stock: PCOP”
[1] “Getting stock vol= PCOP”
[1] “Stock: MTU”
[1] “Getting stock vol= MTU”
[1] “Stock: RBI”
[1] “Getting stock vol= RBI”
[1] “Stock: WGRD”
[1] “Getting stock vol= WGRD”
[1] “Stock: CLB”
[1] “Getting stock vol= CLB”
[1] “Stock: PKI”
[1] “Getting stock vol= PKI”
[1] “alpha= 1.34051258893173”
[1] “rho=-0.33 kappa=0.21 sigma=0.58 v0=0.16 vT=0.01”
[1] “Completed calibration for PKI”
[1] “S=26.47 X=20.00 log(MN)=0.280 tau=0.143 mkt=0.46 heston=0.48 relerr=0.0346 abserr=0.016 ”
[1] “S=26.47 X=22.50 log(MN)=0.162 tau=0.143 mkt=0.48 heston=0.43 relerr=0.0928 abserr=0.044 ”
[1] “S=26.47 X=25.00 log(MN)=0.057 tau=0.143 mkt=0.40 heston=0.41 relerr=0.0314 abserr=0.012 ”
[1] “S=26.47 X=30.00 log(MN)=-0.125 tau=0.143 mkt=0.38 heston=0.38 relerr=0.0117 abserr=0.004 ”
[1] “S=26.47 X=35.00 log(MN)=-0.279 tau=0.143 mkt=0.46 heston=0.38 relerr=0.1829 abserr=0.085 ”
[1] “S=26.47 X=40.00 log(MN)=-0.413 tau=0.143 mkt=0.63 heston=0.38 relerr=0.3882 abserr=0.243 ***”
[1] “S=26.47 X=22.50 log(MN)=0.162 tau=0.532 mkt=0.41 heston=0.41 relerr=0.0003 abserr=0.000 ”
[1] “S=26.47 X=25.00 log(MN)=0.057 tau=0.532 mkt=0.39 heston=0.39 relerr=0.0046 abserr=0.002 ”
[1] “S=26.47 X=30.00 log(MN)=-0.125 tau=0.532 mkt=0.37 heston=0.36 relerr=0.0154 abserr=0.006 ”
[1] “S=26.47 X=35.00 log(MN)=-0.279 tau=0.532 mkt=0.36 heston=0.36 relerr=0.0041 abserr=0.001 ”
[1] “S=26.47 X=40.00 log(MN)=-0.413 tau=0.532 mkt=0.37 heston=0.37 relerr=0.0001 abserr=0.000 ”
[1] “S=26.47 X=22.50 log(MN)=0.162 tau=0.893 mkt=0.40 heston=0.40 relerr=0.0110 abserr=0.004 ”
[1] “S=26.47 X=25.00 log(MN)=0.057 tau=0.893 mkt=0.37 heston=0.37 relerr=0.0163 abserr=0.006 ”
[1] “S=26.47 X=30.00 log(MN)=-0.125 tau=0.893 mkt=0.35 heston=0.35 relerr=0.0047 abserr=0.002 ”
[1] “S=26.47 X=35.00 log(MN)=-0.279 tau=0.893 mkt=0.33 heston=0.34 relerr=0.0296 abserr=0.010 ”
[1] “S=26.47 X=40.00 log(MN)=-0.413 tau=0.893 mkt=0.33 heston=0.35 relerr=0.0665 abserr=0.022 ”
[1] “In LMHeston comparison alpha= 0.670256294465865”
[1] “S=26.47 X=20.00 log(MN)=0.280 tau=0.143 mkt=0.46 fracheston=0.48 relerr=0.0345 abserr=0.016 ”
[1] “S=26.47 X=22.50 log(MN)=0.162 tau=0.143 mkt=0.48 fracheston=0.43 relerr=0.0986 abserr=0.047 ”
[1] “S=26.47 X=25.00 log(MN)=0.057 tau=0.143 mkt=0.40 fracheston=0.40 relerr=0.0181 abserr=0.007 ”
[1] “S=26.47 X=30.00 log(MN)=-0.125 tau=0.143 mkt=0.38 fracheston=0.38 relerr=0.0058 abserr=0.002 ”
[1] “S=26.47 X=35.00 log(MN)=-0.279 tau=0.143 mkt=0.46 fracheston=0.38 relerr=0.1901 abserr=0.088 ”
[1] “S=26.47 X=40.00 log(MN)=-0.413 tau=0.143 mkt=0.63 fracheston=0.74 relerr=0.1774 abserr=0.111 ”
[1] “S=26.47 X=22.50 log(MN)=0.162 tau=0.532 mkt=0.41 fracheston=0.41 relerr=0.0035 abserr=0.001 ”
[1] “S=26.47 X=25.00 log(MN)=0.057 tau=0.532 mkt=0.39 fracheston=0.39 relerr=0.0087 abserr=0.003 ”
[1] “S=26.47 X=30.00 log(MN)=-0.125 tau=0.532 mkt=0.37 fracheston=0.36 relerr=0.0231 abserr=0.009 ”
[1] “S=26.47 X=35.00 log(MN)=-0.279 tau=0.532 mkt=0.36 fracheston=0.36 relerr=0.0082 abserr=0.003 ”
[1] “S=26.47 X=40.00 log(MN)=-0.413 tau=0.532 mkt=0.37 fracheston=0.37 relerr=0.0159 abserr=0.006 ”
[1] “S=26.47 X=22.50 log(MN)=0.162 tau=0.893 mkt=0.40 fracheston=0.40 relerr=0.0005 abserr=0.000 ”
[1] “S=26.47 X=25.00 log(MN)=0.057 tau=0.893 mkt=0.37 fracheston=0.38 relerr=0.0199 abserr=0.007 ”
[1] “S=26.47 X=30.00 log(MN)=-0.125 tau=0.893 mkt=0.35 fracheston=0.35 relerr=0.0036 abserr=0.001 ”
[1] “S=26.47 X=35.00 log(MN)=-0.279 tau=0.893 mkt=0.33 fracheston=0.35 relerr=0.0447 abserr=0.015 ”
[1] “S=26.47 X=40.00 log(MN)=-0.413 tau=0.893 mkt=0.33 fracheston=0.35 relerr=0.0723 abserr=0.024 ”
[1] “PKI,2002-02-08,2002-02-08,0.020798291598156,0.0154913236815891,0.685617186221787”
[1] “Stock: SPTN”
[1] “Getting stock vol= SPTN”
[1] “alpha= 1.34477926949736”
[1] “rho=-0.68 kappa=0.30 sigma=0.60 v0=0.13 vT=0.00”
[1] “Completed calibration for SPTN”
[1] “S=17.77 X=12.50 log(MN)=0.352 tau=0.155 mkt=0.58 heston=0.51 relerr=0.1167 abserr=0.067 ”
[1] “S=17.77 X=15.00 log(MN)=0.169 tau=0.155 mkt=0.43 heston=0.41 relerr=0.0436 abserr=0.019 ”
[1] “S=17.77 X=17.50 log(MN)=0.015 tau=0.155 mkt=0.36 heston=0.36 relerr=0.0135 abserr=0.005 ”
[1] “S=17.77 X=12.50 log(MN)=0.352 tau=0.405 mkt=0.47 heston=0.46 relerr=0.0023 abserr=0.001 ”
[1] “S=17.77 X=15.00 log(MN)=0.169 tau=0.405 mkt=0.37 heston=0.40 relerr=0.0638 abserr=0.024 ”
[1] “S=17.77 X=17.50 log(MN)=0.015 tau=0.405 mkt=0.35 heston=0.35 relerr=0.0001 abserr=0.000 ”
[1] “S=17.77 X=12.50 log(MN)=0.352 tau=0.766 mkt=0.43 heston=0.44 relerr=0.0223 abserr=0.010 ”
[1] “S=17.77 X=15.00 log(MN)=0.169 tau=0.766 mkt=0.36 heston=0.38 relerr=0.0446 abserr=0.016 ”
[1] “S=17.77 X=17.50 log(MN)=0.015 tau=0.766 mkt=0.34 heston=0.32 relerr=0.0493 abserr=0.017 ”
[1] “In LMHeston comparison alpha= 0.672389634748679”
[1] “S=17.77 X=12.50 log(MN)=0.352 tau=0.155 mkt=0.58 fracheston=0.51 relerr=0.1224 abserr=0.071 ”
[1] “S=17.77 X=15.00 log(MN)=0.169 tau=0.155 mkt=0.43 fracheston=0.41 relerr=0.0562 abserr=0.024 ”
[1] “S=17.77 X=17.50 log(MN)=0.015 tau=0.155 mkt=0.36 fracheston=0.36 relerr=0.0000 abserr=0.000 ”
[1] “S=17.77 X=12.50 log(MN)=0.352 tau=0.405 mkt=0.47 fracheston=0.47 relerr=0.0001 abserr=0.000 ”
[1] “S=17.77 X=15.00 log(MN)=0.169 tau=0.405 mkt=0.37 fracheston=0.40 relerr=0.0659 abserr=0.025 ”
[1] “S=17.77 X=17.50 log(MN)=0.015 tau=0.405 mkt=0.35 fracheston=0.35 relerr=0.0049 abserr=0.002 ”
[1] “S=17.77 X=12.50 log(MN)=0.352 tau=0.766 mkt=0.43 fracheston=0.45 relerr=0.0418 abserr=0.018 ”
[1] “S=17.77 X=15.00 log(MN)=0.169 tau=0.766 mkt=0.36 fracheston=0.39 relerr=0.0681 abserr=0.025 ”
[1] “S=17.77 X=17.50 log(MN)=0.015 tau=0.766 mkt=0.34 fracheston=0.33 relerr=0.0191 abserr=0.006 ”
[1] “SPTN,2006-10-10,2006-10-10,0.0132105478142758,0.0142123786088362,0.903337773225726”
[1] “Stock: PMTR”
[1] “Getting stock vol= PMTR”
[1] “Stock: HMN”
[1] “Getting stock vol= HMN”
[1] “alpha= 1.34044030521179”
[1] “rho=0.48 kappa=0.24 sigma=0.46 v0=0.08 vT=0.23”
[1] “Completed calibration for HMN”
[1] “S=21.75 X=17.50 log(MN)=0.217 tau=0.143 mkt=0.00 heston=0.33 relerr=4203318563297062.5000 abserr=0.332 ***”
[1] “S=21.75 X=20.00 log(MN)=0.084 tau=0.143 mkt=0.28 heston=0.29 relerr=0.0118 abserr=0.003 ”
[1] “S=21.75 X=22.50 log(MN)=-0.034 tau=0.143 mkt=0.30 heston=0.30 relerr=0.0026 abserr=0.001 ”
[1] “S=21.75 X=25.00 log(MN)=-0.139 tau=0.143 mkt=0.32 heston=0.32 relerr=0.0007 abserr=0.000 ”
[1] “S=21.75 X=15.00 log(MN)=0.372 tau=0.393 mkt=0.29 heston=0.37 relerr=0.2714 abserr=0.080 ”
[1] “S=21.75 X=17.50 log(MN)=0.217 tau=0.393 mkt=0.32 heston=0.30 relerr=0.0453 abserr=0.014 ”
[1] “S=21.75 X=20.00 log(MN)=0.084 tau=0.393 mkt=0.31 heston=0.29 relerr=0.0689 abserr=0.022 ”
[1] “S=21.75 X=22.50 log(MN)=-0.034 tau=0.393 mkt=0.29 heston=0.31 relerr=0.0765 abserr=0.022 ”
[1] “S=21.75 X=17.50 log(MN)=0.217 tau=0.754 mkt=0.30 heston=0.31 relerr=0.0070 abserr=0.002 ”
[1] “S=21.75 X=20.00 log(MN)=0.084 tau=0.754 mkt=0.31 heston=0.30 relerr=0.0280 abserr=0.009 ”
[1] “S=21.75 X=22.50 log(MN)=-0.034 tau=0.754 mkt=0.31 heston=0.32 relerr=0.0050 abserr=0.002 ”
[1] “In LMHeston comparison alpha= 0.670220152605893”
[1] “S=21.75 X=17.50 log(MN)=0.217 tau=0.143 mkt=0.00 fracheston=0.33 relerr=4237222458401037.0000 abserr=0.334 ***”
[1] “S=21.75 X=20.00 log(MN)=0.084 tau=0.143 mkt=0.28 fracheston=0.30 relerr=0.0418 abserr=0.012 ”
[1] “S=21.75 X=22.50 log(MN)=-0.034 tau=0.143 mkt=0.30 fracheston=0.30 relerr=0.0001 abserr=0.000 ”
[1] “S=21.75 X=25.00 log(MN)=-0.139 tau=0.143 mkt=0.32 fracheston=0.31 relerr=0.0277 abserr=0.009 ”
[1] “S=21.75 X=15.00 log(MN)=0.372 tau=0.393 mkt=0.29 fracheston=0.37 relerr=0.2600 abserr=0.076 ”
[1] “S=21.75 X=17.50 log(MN)=0.217 tau=0.393 mkt=0.32 fracheston=0.31 relerr=0.0332 abserr=0.011 ”
[1] “S=21.75 X=20.00 log(MN)=0.084 tau=0.393 mkt=0.31 fracheston=0.30 relerr=0.0452 abserr=0.014 ”
[1] “S=21.75 X=22.50 log(MN)=-0.034 tau=0.393 mkt=0.29 fracheston=0.31 relerr=0.0774 abserr=0.022 ”
[1] “S=21.75 X=17.50 log(MN)=0.217 tau=0.754 mkt=0.30 fracheston=0.31 relerr=0.0107 abserr=0.003 ”
[1] “S=21.75 X=20.00 log(MN)=0.084 tau=0.754 mkt=0.31 fracheston=0.31 relerr=0.0145 abserr=0.005 ”
[1] “S=21.75 X=22.50 log(MN)=-0.034 tau=0.754 mkt=0.31 fracheston=0.31 relerr=0.0000 abserr=0.000 ”
[1] “HMN,2002-02-08,2002-02-08,0.0323936624268152,0.0323971212074522,0.999912403904835”
[1] “Stock: CVNS”
[1] “Getting stock vol= CVNS”
[1] “Stock: EXLS”
[1] “Getting stock vol= EXLS”
[1] “alpha= 1.34476709292029”
[1] “Stock: BLT”
[1] “Getting stock vol= BLT”
[1] “alpha= 1.34399980541494”
[1] “rho=-0.81 kappa=0.62 sigma=0.33 v0=0.09 vT=0.16”
[1] “Completed calibration for BLT”
[1] “S=15.35 X=12.50 log(MN)=0.205 tau=0.115 mkt=0.40 heston=0.37 relerr=0.0638 abserr=0.026 ”
[1] “S=15.35 X=15.00 log(MN)=0.023 tau=0.115 mkt=0.28 heston=0.30 relerr=0.0696 abserr=0.020 ”
[1] “S=15.35 X=17.50 log(MN)=-0.131 tau=0.115 mkt=0.34 heston=0.27 relerr=0.2277 abserr=0.078 ”
[1] “S=15.35 X=12.50 log(MN)=0.205 tau=0.254 mkt=0.36 heston=0.36 relerr=0.0113 abserr=0.004 ”
[1] “S=15.35 X=15.00 log(MN)=0.023 tau=0.254 mkt=0.31 heston=0.31 relerr=0.0002 abserr=0.000 ”
[1] “S=15.35 X=17.50 log(MN)=-0.131 tau=0.254 mkt=0.26 heston=0.27 relerr=0.0491 abserr=0.013 ”
[1] “S=15.35 X=12.50 log(MN)=0.205 tau=0.615 mkt=0.37 heston=0.36 relerr=0.0258 abserr=0.010 ”
[1] “S=15.35 X=15.00 log(MN)=0.023 tau=0.615 mkt=0.32 heston=0.32 relerr=0.0055 abserr=0.002 ”
[1] “S=15.35 X=17.50 log(MN)=-0.131 tau=0.615 mkt=0.28 heston=0.28 relerr=0.0001 abserr=0.000 ”
[1] “S=15.35 X=12.50 log(MN)=0.205 tau=0.976 mkt=0.37 heston=0.37 relerr=0.0004 abserr=0.000 ”
[1] “S=15.35 X=15.00 log(MN)=0.023 tau=0.976 mkt=0.32 heston=0.33 relerr=0.0196 abserr=0.006 ”
[1] “S=15.35 X=17.50 log(MN)=-0.131 tau=0.976 mkt=0.30 heston=0.30 relerr=0.0063 abserr=0.002 ”
[1] “In LMHeston comparison alpha= 0.671999902707469”
[1] “S=15.35 X=12.50 log(MN)=0.205 tau=0.115 mkt=0.40 fracheston=0.37 relerr=0.0734 abserr=0.029 ”
[1] “S=15.35 X=15.00 log(MN)=0.023 tau=0.115 mkt=0.28 fracheston=0.29 relerr=0.0348 abserr=0.010 ”
[1] “S=15.35 X=17.50 log(MN)=-0.131 tau=0.115 mkt=0.34 fracheston=0.26 relerr=0.2448 abserr=0.084 ”
[1] “S=15.35 X=12.50 log(MN)=0.205 tau=0.254 mkt=0.36 fracheston=0.36 relerr=0.0064 abserr=0.002 ”
[1] “S=15.35 X=15.00 log(MN)=0.023 tau=0.254 mkt=0.31 fracheston=0.30 relerr=0.0217 abserr=0.007 ”
[1] “S=15.35 X=17.50 log(MN)=-0.131 tau=0.254 mkt=0.26 fracheston=0.27 relerr=0.0365 abserr=0.009 ”
[1] “S=15.35 X=12.50 log(MN)=0.205 tau=0.615 mkt=0.37 fracheston=0.37 relerr=0.0168 abserr=0.006 ”
[1] “S=15.35 X=15.00 log(MN)=0.023 tau=0.615 mkt=0.32 fracheston=0.32 relerr=0.0000 abserr=0.000 ”
[1] “S=15.35 X=17.50 log(MN)=-0.131 tau=0.615 mkt=0.28 fracheston=0.28 relerr=0.0012 abserr=0.000 ”
[1] “S=15.35 X=12.50 log(MN)=0.205 tau=0.976 mkt=0.37 fracheston=0.37 relerr=0.0188 abserr=0.007 ”
[1] “S=15.35 X=15.00 log(MN)=0.023 tau=0.976 mkt=0.32 fracheston=0.33 relerr=0.0246 abserr=0.008 ”
[1] “S=15.35 X=17.50 log(MN)=-0.131 tau=0.976 mkt=0.30 fracheston=0.30 relerr=0.0000 abserr=0.000 ”
[1] “BLT,2005-11-18,2005-11-18,0.013344007384246,0.0136095234362639,0.977537897072647”
[1] “Stock: MR”
[1] “Getting stock vol= MR”
[1] “Stock: BMS”
[1] “Getting stock vol= BMS”
[1] “alpha= 1.34256895496568”
[1] “rho=-0.03 kappa=0.04 sigma=0.14 v0=0.03 vT=0.68”
[1] “Completed calibration for BMS”
[1] “S=51.88 X=40.00 log(MN)=0.260 tau=0.143 mkt=0.00 heston=0.37 relerr=57992031043619936.0000 abserr=0.367 ***”
[1] “S=51.88 X=45.00 log(MN)=0.142 tau=0.143 mkt=0.22 heston=0.23 relerr=0.0168 abserr=0.004 ”
[1] “S=51.88 X=50.00 log(MN)=0.037 tau=0.143 mkt=0.18 heston=0.17 relerr=0.0466 abserr=0.008 ”
[1] “S=51.88 X=55.00 log(MN)=-0.058 tau=0.143 mkt=0.17 heston=0.17 relerr=0.0051 abserr=0.001 ”
[1] “S=51.88 X=35.00 log(MN)=0.394 tau=0.282 mkt=0.31 heston=0.42 relerr=0.3709 abserr=0.114 ***”
[1] “S=51.88 X=40.00 log(MN)=0.260 tau=0.282 mkt=0.28 heston=0.30 relerr=0.0743 abserr=0.021 ”
[1] “S=51.88 X=45.00 log(MN)=0.142 tau=0.282 mkt=0.19 heston=0.21 relerr=0.0779 abserr=0.015 ”
[1] “S=51.88 X=50.00 log(MN)=0.037 tau=0.282 mkt=0.18 heston=0.18 relerr=0.0109 abserr=0.002 ”
[1] “S=51.88 X=55.00 log(MN)=-0.058 tau=0.282 mkt=0.17 heston=0.17 relerr=0.0342 abserr=0.006 ”
[1] “S=51.88 X=60.00 log(MN)=-0.145 tau=0.282 mkt=0.17 heston=0.17 relerr=0.0001 abserr=0.000 ”
[1] “S=51.88 X=45.00 log(MN)=0.142 tau=0.643 mkt=0.21 heston=0.21 relerr=0.0009 abserr=0.000 ”
[1] “S=51.88 X=50.00 log(MN)=0.037 tau=0.643 mkt=0.20 heston=0.19 relerr=0.0125 abserr=0.002 ”
[1] “S=51.88 X=55.00 log(MN)=-0.058 tau=0.643 mkt=0.19 heston=0.19 relerr=0.0012 abserr=0.000 ”
[1] “S=51.88 X=60.00 log(MN)=-0.145 tau=0.643 mkt=0.18 heston=0.19 relerr=0.0578 abserr=0.010 ”
[1] “In LMHeston comparison alpha= 0.67128447748284”
[1] “S=51.88 X=40.00 log(MN)=0.260 tau=0.143 mkt=0.00 fracheston=0.37 relerr=57992068224723928.0000 abserr=0.367 ***”
[1] “S=51.88 X=45.00 log(MN)=0.142 tau=0.143 mkt=0.22 fracheston=0.23 relerr=0.0183 abserr=0.004 ”
[1] “S=51.88 X=50.00 log(MN)=0.037 tau=0.143 mkt=0.18 fracheston=0.17 relerr=0.0390 abserr=0.007 ”
[1] “S=51.88 X=55.00 log(MN)=-0.058 tau=0.143 mkt=0.17 fracheston=0.17 relerr=0.0000 abserr=0.000 ”
[1] “S=51.88 X=35.00 log(MN)=0.394 tau=0.282 mkt=0.31 fracheston=0.42 relerr=0.3709 abserr=0.114 ”
[1] “S=51.88 X=40.00 log(MN)=0.260 tau=0.282 mkt=0.28 fracheston=0.30 relerr=0.0744 abserr=0.021 ”
[1] “S=51.88 X=45.00 log(MN)=0.142 tau=0.282 mkt=0.19 fracheston=0.21 relerr=0.0827 abserr=0.016 ”
[1] “S=51.88 X=50.00 log(MN)=0.037 tau=0.282 mkt=0.18 fracheston=0.18 relerr=0.0016 abserr=0.000 ”
[1] “S=51.88 X=55.00 log(MN)=-0.058 tau=0.282 mkt=0.17 fracheston=0.17 relerr=0.0414 abserr=0.007 ”
[1] “S=51.88 X=60.00 log(MN)=-0.145 tau=0.282 mkt=0.17 fracheston=0.17 relerr=0.0005 abserr=0.000 ”
[1] “S=51.88 X=45.00 log(MN)=0.142 tau=0.643 mkt=0.21 fracheston=0.21 relerr=0.0007 abserr=0.000 ”
[1] “S=51.88 X=50.00 log(MN)=0.037 tau=0.643 mkt=0.20 fracheston=0.19 relerr=0.0113 abserr=0.002 ”
[1] “S=51.88 X=55.00 log(MN)=-0.058 tau=0.643 mkt=0.19 fracheston=0.19 relerr=0.0001 abserr=0.000 ”
[1] “S=51.88 X=60.00 log(MN)=-0.145 tau=0.643 mkt=0.18 fracheston=0.19 relerr=0.0515 abserr=0.009 ”
[1] “BMS,2002-02-08,2002-02-08,0.0323497856265996,0.0321729036887422,0.995481579459067”
[1] “Stock: CNQR”
[1] “Getting stock vol= CNQR”
[1] “alpha= 1.34506461360647”
[1] “rho=-0.52 kappa=0.06 sigma=0.48 v0=0.25 vT=0.21”
[1] “Completed calibration for CNQR”
[1] “S=13.08 X=7.50 log(MN)=0.556 tau=0.155 mkt=0.00 heston=0.71 relerr=16062541613452266.0000 abserr=0.713 ***”
[1] “S=13.08 X=10.00 log(MN)=0.268 tau=0.155 mkt=0.55 heston=0.55 relerr=0.0061 abserr=0.003 ”
[1] “S=13.08 X=12.50 log(MN)=0.045 tau=0.155 mkt=0.53 heston=0.51 relerr=0.0472 abserr=0.025 ”
[1] “S=13.08 X=15.00 log(MN)=-0.137 tau=0.155 mkt=0.53 heston=0.48 relerr=0.0989 abserr=0.053 ”
[1] “S=13.08 X=7.50 log(MN)=0.556 tau=0.294 mkt=0.65 heston=0.64 relerr=0.0249 abserr=0.016 ”
[1] “S=13.08 X=10.00 log(MN)=0.268 tau=0.294 mkt=0.54 heston=0.54 relerr=0.0001 abserr=0.000 ”
[1] “S=13.08 X=12.50 log(MN)=0.045 tau=0.294 mkt=0.50 heston=0.50 relerr=0.0114 abserr=0.006 ”
[1] “S=13.08 X=15.00 log(MN)=-0.137 tau=0.294 mkt=0.48 heston=0.48 relerr=0.0016 abserr=0.001 ”
[1] “S=13.08 X=7.50 log(MN)=0.556 tau=0.655 mkt=0.61 heston=0.60 relerr=0.0089 abserr=0.005 ”
[1] “S=13.08 X=10.00 log(MN)=0.268 tau=0.655 mkt=0.52 heston=0.54 relerr=0.0363 abserr=0.019 ”
[1] “S=13.08 X=12.50 log(MN)=0.045 tau=0.655 mkt=0.52 heston=0.50 relerr=0.0384 abserr=0.020 ”
[1] “S=13.08 X=15.00 log(MN)=-0.137 tau=0.655 mkt=0.47 heston=0.47 relerr=0.0000 abserr=0.000 ”
[1] “In LMHeston comparison alpha= 0.672532306803233”
[1] “S=13.08 X=7.50 log(MN)=0.556 tau=0.155 mkt=0.00 fracheston=0.71 relerr=16071266589065594.0000 abserr=0.713 ***”
[1] “S=13.08 X=10.00 log(MN)=0.268 tau=0.155 mkt=0.55 fracheston=0.55 relerr=0.0035 abserr=0.002 ”
[1] “S=13.08 X=12.50 log(MN)=0.045 tau=0.155 mkt=0.53 fracheston=0.51 relerr=0.0455 abserr=0.024 ”
[1] “S=13.08 X=15.00 log(MN)=-0.137 tau=0.155 mkt=0.53 fracheston=0.48 relerr=0.0977 abserr=0.052 ”
[1] “S=13.08 X=7.50 log(MN)=0.556 tau=0.294 mkt=0.65 fracheston=0.64 relerr=0.0235 abserr=0.015 ”
[1] “S=13.08 X=10.00 log(MN)=0.268 tau=0.294 mkt=0.54 fracheston=0.55 relerr=0.0021 abserr=0.001 ”
[1] “S=13.08 X=12.50 log(MN)=0.045 tau=0.294 mkt=0.50 fracheston=0.50 relerr=0.0131 abserr=0.007 ”
[1] “S=13.08 X=15.00 log(MN)=-0.137 tau=0.294 mkt=0.48 fracheston=0.48 relerr=0.0027 abserr=0.001 ”
[1] “S=13.08 X=7.50 log(MN)=0.556 tau=0.655 mkt=0.61 fracheston=0.60 relerr=0.0066 abserr=0.004 ”
[1] “S=13.08 X=10.00 log(MN)=0.268 tau=0.655 mkt=0.52 fracheston=0.54 relerr=0.0384 abserr=0.020 ”
[1] “S=13.08 X=12.50 log(MN)=0.045 tau=0.655 mkt=0.52 fracheston=0.50 relerr=0.0373 abserr=0.019 ”
[1] “S=13.08 X=15.00 log(MN)=-0.137 tau=0.655 mkt=0.47 fracheston=0.47 relerr=0.0000 abserr=0.000 ”
[1] “CNQR,2003-09-09,2003-09-09,0.0537927241390887,0.0536695096943245,0.998436771539088”
[1] “Stock: FOX”
[1] “Getting stock vol= FOX”
[1] “alpha= 1.33731721651926”
[1] “rho=-0.64 kappa=0.30 sigma=0.34 v0=0.13 vT=0.26”
[1] “Completed calibration for FOX”
[1] “S=21.25 X=17.50 log(MN)=0.194 tau=0.143 mkt=0.41 heston=0.41 relerr=0.0052 abserr=0.002 ”
[1] “S=21.25 X=20.00 log(MN)=0.061 tau=0.143 mkt=0.37 heston=0.38 relerr=0.0253 abserr=0.009 ”
[1] “S=21.25 X=22.50 log(MN)=-0.057 tau=0.143 mkt=0.36 heston=0.36 relerr=0.0192 abserr=0.007 ”
[1] “S=21.25 X=25.00 log(MN)=-0.163 tau=0.143 mkt=0.33 heston=0.34 relerr=0.0405 abserr=0.013 ”
[1] “S=21.25 X=15.00 log(MN)=0.348 tau=0.282 mkt=0.51 heston=0.46 relerr=0.0831 abserr=0.042 ”
[1] “S=21.25 X=17.50 log(MN)=0.194 tau=0.282 mkt=0.42 heston=0.41 relerr=0.0314 abserr=0.013 ”
[1] “S=21.25 X=20.00 log(MN)=0.061 tau=0.282 mkt=0.38 heston=0.38 relerr=0.0022 abserr=0.001 ”
[1] “S=21.25 X=22.50 log(MN)=-0.057 tau=0.282 mkt=0.37 heston=0.36 relerr=0.0391 abserr=0.015 ”
[1] “S=21.25 X=25.00 log(MN)=-0.163 tau=0.282 mkt=0.34 heston=0.34 relerr=0.0001 abserr=0.000 ”
[1] “S=21.25 X=30.00 log(MN)=-0.345 tau=0.282 mkt=0.41 heston=0.32 relerr=0.2140 abserr=0.087 ”
[1] “S=21.25 X=17.50 log(MN)=0.194 tau=0.643 mkt=0.41 heston=0.41 relerr=0.0050 abserr=0.002 ”
[1] “S=21.25 X=20.00 log(MN)=0.061 tau=0.643 mkt=0.38 heston=0.39 relerr=0.0192 abserr=0.007 ”
[1] “S=21.25 X=22.50 log(MN)=-0.057 tau=0.643 mkt=0.36 heston=0.37 relerr=0.0178 abserr=0.006 ”
[1] “S=21.25 X=25.00 log(MN)=-0.163 tau=0.643 mkt=0.36 heston=0.35 relerr=0.0261 abserr=0.009 ”
[1] “S=21.25 X=30.00 log(MN)=-0.345 tau=0.643 mkt=0.32 heston=0.33 relerr=0.0088 abserr=0.003 ”
[1] “In LMHeston comparison alpha= 0.668658608259628”
[1] “S=21.25 X=17.50 log(MN)=0.194 tau=0.143 mkt=0.41 fracheston=0.41 relerr=0.0000 abserr=0.000 ”
[1] “S=21.25 X=20.00 log(MN)=0.061 tau=0.143 mkt=0.37 fracheston=0.38 relerr=0.0253 abserr=0.009 ”
[1] “S=21.25 X=22.50 log(MN)=-0.057 tau=0.143 mkt=0.36 fracheston=0.36 relerr=0.0195 abserr=0.007 ”
[1] “S=21.25 X=25.00 log(MN)=-0.163 tau=0.143 mkt=0.33 fracheston=0.34 relerr=0.0500 abserr=0.016 ”
[1] “S=21.25 X=15.00 log(MN)=0.348 tau=0.282 mkt=0.51 fracheston=0.46 relerr=0.0830 abserr=0.042 ”
[1] “S=21.25 X=17.50 log(MN)=0.194 tau=0.282 mkt=0.42 fracheston=0.41 relerr=0.0270 abserr=0.011 ”
[1] “S=21.25 X=20.00 log(MN)=0.061 tau=0.282 mkt=0.38 fracheston=0.38 relerr=0.0000 abserr=0.000 ”
[1] “S=21.25 X=22.50 log(MN)=-0.057 tau=0.282 mkt=0.37 fracheston=0.36 relerr=0.0428 abserr=0.016 ”
[1] “S=21.25 X=25.00 log(MN)=-0.163 tau=0.282 mkt=0.34 fracheston=0.34 relerr=0.0044 abserr=0.002 ”
[1] “S=21.25 X=30.00 log(MN)=-0.345 tau=0.282 mkt=0.41 fracheston=0.33 relerr=0.1750 abserr=0.071 ”
[1] “S=21.25 X=17.50 log(MN)=0.194 tau=0.643 mkt=0.41 fracheston=0.41 relerr=0.0023 abserr=0.001 ”
[1] “S=21.25 X=20.00 log(MN)=0.061 tau=0.643 mkt=0.38 fracheston=0.38 relerr=0.0061 abserr=0.002 ”
[1] “S=21.25 X=22.50 log(MN)=-0.057 tau=0.643 mkt=0.36 fracheston=0.36 relerr=0.0005 abserr=0.000 ”
[1] “S=21.25 X=25.00 log(MN)=-0.163 tau=0.643 mkt=0.36 fracheston=0.35 relerr=0.0387 abserr=0.014 ”
[1] “S=21.25 X=30.00 log(MN)=-0.345 tau=0.643 mkt=0.32 fracheston=0.34 relerr=0.0372 abserr=0.012 ”
[1] “FOX,2002-02-08,2002-02-08,0.0108642305597736,0.0102048249206596,0.91313766982794”
[1] “Stock: JRCC”
[1] “Getting stock vol= JRCC”
[1] “Stock: CYTR”
[1] “Getting stock vol= CYTR”
[1] “alpha= 1.34114011958842”
[1] “Stock: PM”
[1] “Getting stock vol= PM”
[1] “alpha= 1.3418607427716”
[1] “rho=-0.57 kappa=0.19 sigma=0.43 v0=0.05 vT=0.31”
[1] “Completed calibration for PM”
[1] “S=50.58 X=40.00 log(MN)=0.235 tau=0.183 mkt=0.34 heston=0.34 relerr=0.0035 abserr=0.001 ”
[1] “S=50.58 X=45.00 log(MN)=0.117 tau=0.183 mkt=0.29 heston=0.27 relerr=0.0602 abserr=0.017 ”
[1] “S=50.58 X=50.00 log(MN)=0.012 tau=0.183 mkt=0.23 heston=0.23 relerr=0.0007 abserr=0.000 ”
[1] “S=50.58 X=55.00 log(MN)=-0.084 tau=0.183 mkt=0.22 heston=0.20 relerr=0.0513 abserr=0.011 ”
[1] “S=50.58 X=60.00 log(MN)=-0.171 tau=0.183 mkt=0.23 heston=0.20 relerr=0.1683 abserr=0.039 ”
[1] “S=50.58 X=65.00 log(MN)=-0.251 tau=0.183 mkt=0.28 heston=0.19 relerr=0.3159 abserr=0.090 ”
[1] “S=50.58 X=40.00 log(MN)=0.235 tau=0.321 mkt=0.32 heston=0.32 relerr=0.0186 abserr=0.006 ”
[1] “S=50.58 X=45.00 log(MN)=0.117 tau=0.321 mkt=0.27 heston=0.27 relerr=0.0018 abserr=0.001 ”
[1] “S=50.58 X=50.00 log(MN)=0.012 tau=0.321 mkt=0.23 heston=0.24 relerr=0.0164 abserr=0.004 ”
[1] “S=50.58 X=55.00 log(MN)=-0.084 tau=0.321 mkt=0.21 heston=0.21 relerr=0.0076 abserr=0.002 ”
[1] “S=50.58 X=60.00 log(MN)=-0.171 tau=0.321 mkt=0.20 heston=0.20 relerr=0.0009 abserr=0.000 ”
[1] “S=50.58 X=65.00 log(MN)=-0.251 tau=0.321 mkt=0.24 heston=0.20 relerr=0.1747 abserr=0.042 ”
[1] “S=50.58 X=40.00 log(MN)=0.235 tau=0.683 mkt=0.26 heston=0.32 relerr=0.2379 abserr=0.061 ”
[1] “S=50.58 X=45.00 log(MN)=0.117 tau=0.683 mkt=0.23 heston=0.28 relerr=0.2034 abserr=0.047 ”
[1] “S=50.58 X=50.00 log(MN)=0.012 tau=0.683 mkt=0.22 heston=0.25 relerr=0.1486 abserr=0.032 ”
[1] “S=50.58 X=55.00 log(MN)=-0.084 tau=0.683 mkt=0.21 heston=0.22 relerr=0.0759 abserr=0.016 ”
[1] “S=50.58 X=60.00 log(MN)=-0.171 tau=0.683 mkt=0.19 heston=0.21 relerr=0.0869 abserr=0.017 ”
[1] “S=50.58 X=65.00 log(MN)=-0.251 tau=0.683 mkt=0.21 heston=0.21 relerr=0.0108 abserr=0.002 ”
[1] “In LMHeston comparison alpha= 0.670930371385801”
[1] “S=50.58 X=40.00 log(MN)=0.235 tau=0.183 mkt=0.34 fracheston=0.36 relerr=0.0605 abserr=0.020 ”
[1] “S=50.58 X=45.00 log(MN)=0.117 tau=0.183 mkt=0.29 fracheston=0.29 relerr=0.0091 abserr=0.003 ”
[1] “S=50.58 X=50.00 log(MN)=0.012 tau=0.183 mkt=0.23 fracheston=0.24 relerr=0.0414 abserr=0.010 ”
[1] “S=50.58 X=55.00 log(MN)=-0.084 tau=0.183 mkt=0.22 fracheston=0.21 relerr=0.0216 abserr=0.005 ”
[1] “S=50.58 X=60.00 log(MN)=-0.171 tau=0.183 mkt=0.23 fracheston=0.21 relerr=0.1013 abserr=0.024 ”
[1] “S=50.58 X=65.00 log(MN)=-0.251 tau=0.183 mkt=0.28 fracheston=0.22 relerr=0.2255 abserr=0.064 ”
[1] “S=50.58 X=40.00 log(MN)=0.235 tau=0.321 mkt=0.32 fracheston=0.34 relerr=0.0784 abserr=0.025 ”
[1] “S=50.58 X=45.00 log(MN)=0.117 tau=0.321 mkt=0.27 fracheston=0.28 relerr=0.0431 abserr=0.012 ”
[1] “S=50.58 X=50.00 log(MN)=0.012 tau=0.321 mkt=0.23 fracheston=0.23 relerr=0.0047 abserr=0.001 ”
[1] “S=50.58 X=55.00 log(MN)=-0.084 tau=0.321 mkt=0.21 fracheston=0.20 relerr=0.0374 abserr=0.008 ”
[1] “S=50.58 X=60.00 log(MN)=-0.171 tau=0.321 mkt=0.20 fracheston=0.21 relerr=0.0348 abserr=0.007 ”
[1] “S=50.58 X=65.00 log(MN)=-0.251 tau=0.321 mkt=0.24 fracheston=0.22 relerr=0.0995 abserr=0.024 ”
[1] “S=50.58 X=40.00 log(MN)=0.235 tau=0.683 mkt=0.26 fracheston=0.32 relerr=0.2456 abserr=0.063 ”
[1] “S=50.58 X=45.00 log(MN)=0.117 tau=0.683 mkt=0.23 fracheston=0.25 relerr=0.0688 abserr=0.016 ”
[1] “S=50.58 X=50.00 log(MN)=0.012 tau=0.683 mkt=0.22 fracheston=0.22 relerr=0.0042 abserr=0.001 ”
[1] “S=50.58 X=55.00 log(MN)=-0.084 tau=0.683 mkt=0.21 fracheston=0.19 relerr=0.0933 abserr=0.019 ”
[1] “S=50.58 X=60.00 log(MN)=-0.171 tau=0.683 mkt=0.19 fracheston=0.19 relerr=0.0075 abserr=0.001 ”
[1] “S=50.58 X=65.00 log(MN)=-0.251 tau=0.683 mkt=0.21 fracheston=0.21 relerr=0.0018 abserr=0.000 ”
[1] “PM,2008-04-01,2008-04-01,0.016188576054901,0.0126127170518933,0.561419698915471”

​IMPLEMENTATION OF THE ZULF MODEL:

callLMHestoncf<-function (S, X, tau, r, q, v0, vT, rho, k, sigma, alpha, implVol = FALSE)
{
if (sigma < 0.01)
sigma <- 0.01
P1 <- function(om, S, X, tau, r, q, v0, vT, rho, k, sigma) {
p <- Re(exp(-(0+1i) * log(X) * om) * cfHestonLM(om – (0+1i),
S, tau, r, q, v0, vT, rho, k, sigma)/((0+1i) * om *
S * exp((r – q) * tau)))
p
}
P2 <- function(om, S, X, tau, r, q, v0, vT, rho, k, sigma) {
p <- Re(exp(-(0+1i) * log(X) * om) * cfHestonLM(om, S,
tau, r, q, v0, vT, rho, k, sigma)/((0+1i) * om))
p
}
cfHestonLM <- function(om, S, tau, r, q, v0, vT, rho, k, sigma) {
timescale<-1.0
mlfterm<-python.call(“mlf”,-k*(timescale*tau)^alpha,alpha,1.0)

d <- sqrt((rho * sigma * (0+1i) * om – k)^2 + sigma^2 *
((0+1i) * om + om^2))
g <- (k – rho * sigma * (0+1i) * om – d)/(k – rho * sigma *
(0+1i) * om + d)
cf1 <- (0+1i) * om * (log(S) + (r – q) * tau)
cf2 <- vT * k/(sigma^2) * ((k – rho * sigma * (0+1i) *
om – d) * tau – 2 * log((1 – g * exp(-d * tau))/(1 –
g)))
cf3 <- v0/sigma^2 * (k – rho * sigma * (0+1i) * om –
d) * (1 – exp(-d * tau))/(1 – g * exp(-d * tau))

cf3<-cf3/mlfterm
cf <- exp(cf1 + cf2 + cf3)
cf
}
if (implVol) {
diffPrice <- function(vol, call, S, X, tau, r, q) {
d1 <- (log(S/X) + (r – q + vol^2/2) * tau)/(vol *
sqrt(tau))
d2 <- d1 – vol * sqrt(tau)
callBSM <- S * exp(-q * tau) * pnorm(d1) – X * exp(-r *
tau) * pnorm(d2)
call – callBSM
}
impliedVol <- uniroot(diffPrice, interval = c(1e-04,
2), call = result, S = S, X = X, tau = tau, r = r,
q = q)[[1L]]
result <- list(value = result, impliedVol = impliedVol)
}
result
}

2 Attachments

Preview attachment bulkCompareHestonVsLMHeston5.R