Implied Volatility Surface Under a Two-Factor Heston Model
Implied Volatility Surface Under a Two-Factor Heston Model: a task in skilltrainbench-public: skilltrainbench training tasks (Harbor dataset). Price European call options using the Chiarella-Ziveyi semi-analytical formula under a two-factor stochastic volatility model, extract the Black-Scholes…
The task
Price European call options using the **Chiarella-Ziveyi semi-analytical formula** under a two-factor stochastic volatility model, extract the Black-Scholes implied volatility surface, and analyze its properties.
Part of codeslord/skilltrainbench-public.