heston_fit_sp500_short.txt

Method Strike Volatility
Reference 713.095 0.5227499999999999
Reference 784.4045000000001 0.52558
Reference 855.714 0.52671
Reference 927.0235 0.52048
Reference 998.333 0.49520000000000003
Reference 1069.6425 0.43748
Reference 1140.952 0.36927
Reference 1212.2615 0.31718
Reference 1283.5710000000001 0.27681
Reference 1354.8805 0.22624
Reference 1426.19 0.16268999999999997
Reference 1497.4995000000001 0.13499
Reference 1568.8090000000002 0.16161
Reference 1640.1185 0.19118
Reference 1711.428 0.22267
Reference 1782.7375000000002 0.24728999999999998
Reference 1854.047 0.26875
Reference 1925.3565 0.28764
Reference 1996.666 0.30498000000000003
Reference 2067.9755 0.32127
Reference 2139.285 0.33658
Parabola 713.095 4.0052114961549945
Parabola 727.3569 3.806008666402627
Parabola 741.6188000000001 3.615781757228148
Parabola 755.8807 3.434092426132744
Parabola 770.1426 3.260530483037376
Parabola 784.4045 3.094711629024594
Parabola 798.6664000000001 2.9362754127432615
Parabola 812.9283 2.784883380136561
Parabola 827.1902 2.640217396243555
Parabola 841.4521 2.5019781204771157
Parabola 855.7139999999999 2.3698836190637893
Parabola 869.9759 2.243668100301431
Parabola 884.2378 2.123080759994901
Parabola 898.4997 2.0078847259084687
Parabola 912.7616 1.8978560913588287
Parabola 927.0235 1.7927830291925009
Parabola 941.2854 1.692464978369434
Parabola 955.5473 1.596711896230552
Parabola 969.8092 1.5053435702776752
Parabola 984.0711 1.4181889839538706
Parabola 998.333 1.3350857314931392
Parabola 1012.5949 1.2558794774207482
Parabola 1026.8568 1.1804234567383032
Parabola 1041.1187 1.108578012228638
Parabola 1055.3806 1.0402101656711404
Parabola 1069.6425 0.9751932200740606
Parabola 1083.9044 0.9134063903114212
Parabola 1098.1662999999999 0.8547344598027269
Parabola 1112.4281999999998 0.7990674610972672
Parabola 1126.6901 0.746300378424778
Parabola 1140.952 0.6963328704532346
Parabola 1155.2139 0.6490690116549932
Parabola 1169.4758 0.604417050826681
Parabola 1183.7377000000001 0.562289185437699
Parabola 1197.9995999999999 0.5226013505988969
Parabola 1212.2615 0.48527302154806534
Parabola 1226.5234 0.4502270286438162
Parabola 1240.7853 0.41738938394511826
Parabola 1255.0472 0.3866891185313726
Parabola 1269.3091 0.3580581297881495
Parabola 1283.571 0.3314310379474407
Parabola 1297.8328999999999 0.3067450512291264
Parabola 1312.0947999999999 0.28393983898292324
Parabola 1326.3566999999998 0.2629574122779173
Parabola 1340.6186 0.24374201143034543
Parabola 1354.8805 0.22624
Parabola 1369.1424 0.21039976482187497
Parabola 1383.4043 0.19617162167278276
Parabola 1397.6662000000001 0.18350772620293304
Parabola 1411.9281 0.17236198979017905
Parabola 1426.1899999999998 0.16269000000000008
Parabola 1440.4519 0.15444894535757434
Parabola 1454.7138 0.14759754415963305
Parabola 1468.9757 0.14209597707340293
Parabola 1483.2376 0.13790582328797288
Parabola 1497.4995 0.13499000000000005
Parabola 1511.7613999999999 0.13331270503094378
Parabola 1526.0232999999998 0.13283936238708163
Parabola 1540.2851999999998 0.13353657058654134
Parabola 1554.5471 0.1353720535895529
Parabola 1568.809 0.1383146141791864
Parabola 1583.0709 0.14233408965006164
Parabola 1597.3328 0.14740130967196918
Parabola 1611.5946999999999 0.1534880562040932
Parabola 1625.8566 0.16056702534363065
Parabola 1640.1185 0.1686117910001127
Parabola 1654.3804 0.17759677029370086
Parabola 1668.6423 0.18749719058219722
Parabola 1682.9042 0.19828905802751007
Parabola 1697.1661 0.20994912761789883
Parabola 1711.4279999999999 0.2224548745675072
Parabola 1725.6898999999999 0.23578446701952438
Parabola 1739.9518 0.24991673998380592
Parabola 1754.2136999999998 0.26483117044396715
Parabola 1768.4755999999998 0.28050785357288144
Parabola 1782.7375 0.29692747999912644
Parabola 1796.9994 0.3140713140703445
Parabola 1811.2613 0.33192117306263913
Parabola 1825.5231999999999 0.35045940728809155
Parabola 1839.7850999999998 0.369668881055251
Parabola 1854.0469999999998 0.3895329544400468
Parabola 1868.3088999999998 0.4100354658269815
Parabola 1882.5708 0.4311607151827399
Parabola 1896.8327 0.45289344802646714
Parabola 1911.0946 0.4752188400629638
Parabola 1925.3564999999999 0.4981224824469056
Parabola 1939.6183999999998 0.521590367647948
Parabola 1953.8802999999998 0.545608875888221
Parabola 1968.1422 0.5701647621252536
Parabola 1982.4041 0.595245143554821
Parabola 1996.666 0.6208374876095676
Parabola 2010.9279 0.6469296004305342
Parabola 2025.1897999999999 0.6735096157899281
Parabola 2039.4516999999998 0.7005659844445954
Parabola 2053.7136 0.7280874639007349
Parabola 2067.9755 0.7560631085713823
Parabola 2082.2374 0.7844822603091496
Parabola 2096.4993 0.8133345392975907
Parabola 2110.7612 0.8426098352854023
Parabola 2125.0230999999994 0.8722982991484672
Parabola 2139.285 0.9023903347654995
Explicit 713.095 0.4909519424591402
Explicit 727.3569 0.4850304043077431
Explicit 741.6188000000001 0.47914186748822213
Explicit 755.8807 0.47328326878508903
Explicit 770.1426 0.4674515962351414
Explicit 784.4045 0.46164382657054504
Explicit 798.6664000000001 0.45585708879026016
Explicit 812.9283 0.4500884488040989
Explicit 827.1902 0.44433509216935724
Explicit 841.4521 0.4385941518508279
Explicit 855.7139999999999 0.4328626953571027
Explicit 869.9759 0.4271381306046144
Explicit 884.2378 0.4214172873383795
Explicit 898.4997 0.41569743309970536
Explicit 912.7616 0.4099756666122636
Explicit 927.0235 0.4042488941107375
Explicit 941.2854 0.39851413408827513
Explicit 955.5473 0.39276827242114126
Explicit 969.8092 0.38700800164527194
Explicit 984.0711 0.38123002400647343
Explicit 998.333 0.3754308749953479
Explicit 1012.5949 0.36960688278042747
Explicit 1026.8568 0.3637543455461084
Explicit 1041.1187 0.35786863759528276
Explicit 1055.3806 0.3519469542598224
Explicit 1069.6425 0.3459835379271588
Explicit 1083.9044 0.3399739101554265
Explicit 1098.1662999999999 0.33391296859492653
Explicit 1112.4281999999998 0.3277951462220521
Explicit 1126.6901 0.321614511012721
Explicit 1140.952 0.3153644756637487
Explicit 1155.2139 0.3090378880974522
Explicit 1169.4758 0.3026270025083868
Explicit 1183.7377000000001 0.2961231592946851
Explicit 1197.9995999999999 0.2895166519147085
Explicit 1212.2615 0.2827968142920836
Explicit 1226.5234 0.2759516528916666
Explicit 1240.7853 0.2689674487014834
Explicit 1255.0472 0.26182871498297583
Explicit 1269.3091 0.25451762953910717
Explicit 1283.571 0.24701363295663833
Explicit 1297.8328999999999 0.2392930091412695
Explicit 1312.0947999999999 0.23132786983236298
Explicit 1326.3566999999998 0.22308555213524267
Explicit 1340.6186 0.21452786118493009
Explicit 1354.8805 0.20561086623319594
Explicit 1369.1424 0.19628527562512557
Explicit 1383.4043 0.18650320969275683
Explicit 1397.6662000000001 0.17624118464947736
Explicit 1411.9281 0.16559301042177485
Explicit 1426.1899999999998 0.15512117917154317
Explicit 1440.4519 0.1466295747959847
Explicit 1454.7138 0.14242985600112892
Explicit 1468.9757 0.14229542285761965
Explicit 1483.2376 0.14449241904921684
Explicit 1497.4995 0.14782720549098757
Explicit 1511.7613999999999 0.15169116742720468
Explicit 1526.0232999999998 0.1557820842026239
Explicit 1540.2851999999998 0.15994435669381818
Explicit 1554.5471 0.1640956495823263
Explicit 1568.809 0.16819166834676255
Explicit 1583.0709 0.1722089235443899
Explicit 1597.3328 0.17613547785912329
Explicit 1611.5946999999999 0.17996615560486917
Explicit 1625.8566 0.18369960920727788
Explicit 1640.1185 0.18733688514730165
Explicit 1654.3804 0.19088021448738912
Explicit 1668.6423 0.19433266112089626
Explicit 1682.9042 0.19769760420359586
Explicit 1697.1661 0.20097858604748411
Explicit 1711.4279999999999 0.20417918191854756
Explicit 1725.6898999999999 0.20730286480125337
Explicit 1739.9518 0.21035303882215864
Explicit 1754.2136999999998 0.21333289515205567
Explicit 1768.4755999999998 0.21624555159541992
Explicit 1782.7375 0.21909389603309037
Explicit 1796.9994 0.2218807199535177
Explicit 1811.2613 0.22460858712485937
Explicit 1825.5231999999999 0.22727996380446142
Explicit 1839.7850999999998 0.22989718089205569
Explicit 1854.0469999999998 0.2324623901203668
Explicit 1868.3088999999998 0.2349776435242484
Explicit 1882.5708 0.2374448938939829
Explicit 1896.8327 0.2398659679359591
Explicit 1911.0946 0.24224257753752587
Explicit 1925.3564999999999 0.2445763589542523
Explicit 1939.6183999999998 0.24686885632360667
Explicit 1953.8802999999998 0.24912152662002765
Explicit 1968.1422 0.25133572724055186
Explicit 1982.4041 0.25351283506813127
Explicit 1996.666 0.2556539895488698
Explicit 2010.9279 0.25776043516798336
Explicit 2025.1897999999999 0.25983329148183504
Explicit 2039.4516999999998 0.2618736346294683
Explicit 2053.7136 0.263882427276977
Explicit 2067.9755 0.2658606790936159
Explicit 2082.2374 0.26780930995119123
Explicit 2096.4993 0.26972918213527913
Explicit 2110.7612 0.27162114337318516
Explicit 2125.0230999999994 0.27348600086646985
Explicit 2139.285 0.2753245197507684
Explicit-LM 713.095 0.5565969742294485
Explicit-LM 727.3569 0.5498301152384985
Explicit-LM 741.6188000000001 0.5431002726467956
Explicit-LM 755.8807 0.5364038297777614
Explicit-LM 770.1426 0.5297373295047161
Explicit-LM 784.4045 0.523097351291947
Explicit-LM 798.6664000000001 0.5164805458839513
Explicit-LM 812.9283 0.509883463679907
Explicit-LM 827.1902 0.5033028670548279
Explicit-LM 841.4521 0.49673556411921527
Explicit-LM 855.7139999999999 0.49017808411772323
Explicit-LM 869.9759 0.48362721157616756
Explicit-LM 884.2378 0.4770795731173203
Explicit-LM 898.4997 0.47053182381881564
Explicit-LM 912.7616 0.46398047952894833
Explicit-LM 927.0235 0.45742209258684324
Explicit-LM 941.2854 0.4508530676885956
Explicit-LM 955.5473 0.4442697045610798
Explicit-LM 969.8092 0.4376682309150405
Explicit-LM 984.0711 0.4310446614861269
Explicit-LM 998.333 0.42439485451651193
Explicit-LM 1012.5949 0.4177145472050459
Explicit-LM 1026.8568 0.4109991493572191
Explicit-LM 1041.1187 0.4042438984513979
Explicit-LM 1055.3806 0.39744363599781357
Explicit-LM 1069.6425 0.39059307150339695
Explicit-LM 1083.9044 0.38368628802606924
Explicit-LM 1098.1662999999999 0.3767170435489505
Explicit-LM 1112.4281999999998 0.3696782114358929
Explicit-LM 1126.6901 0.3625634716706571
Explicit-LM 1140.952 0.35536376759535593
Explicit-LM 1155.2139 0.3480706491526115
Explicit-LM 1169.4758 0.34067420780684887
Explicit-LM 1183.7377000000001 0.33316362502392693
Explicit-LM 1197.9995999999999 0.32552653596621156
Explicit-LM 1212.2615 0.3177494192784345
Explicit-LM 1226.5234 0.30981652864756254
Explicit-LM 1240.7853 0.30170987251264625
Explicit-LM 1255.0472 0.2934089053974379
Explicit-LM 1269.3091 0.2848892512259381
Explicit-LM 1283.571 0.2761224414470189
Explicit-LM 1297.8328999999999 0.26707441406710275
Explicit-LM 1312.0947999999999 0.25770385158424075
Explicit-LM 1326.3566999999998 0.24796008720028256
Explicit-LM 1340.6186 0.23777957986371462
Explicit-LM 1354.8805 0.22708123169851469
Explicit-LM 1369.1424 0.21575980891445273
Explicit-LM 1383.4043 0.2036741533135191
Explicit-LM 1397.6662000000001 0.19063809547685243
Explicit-LM 1411.9281 0.17643285764929062
Explicit-LM 1426.1899999999998 0.1610861506920307
Explicit-LM 1440.4519 0.14634186320100953
Explicit-LM 1454.7138 0.1370560302446334
Explicit-LM 1468.9757 0.13456798074462065
Explicit-LM 1483.2376 0.13584240410627021
Explicit-LM 1497.4995 0.13878512970344764
Explicit-LM 1511.7613999999999 0.14246328704407923
Explicit-LM 1526.0232999999998 0.14645573572235168
Explicit-LM 1540.2851999999998 0.15055908325699735
Explicit-LM 1554.5471 0.15466990618817417
Explicit-LM 1568.809 0.1587341366963242
Explicit-LM 1583.0709 0.16272341919141708
Explicit-LM 1597.3328 0.16662351707981232
Explicit-LM 1611.5946999999999 0.17042805802317382
Explicit-LM 1625.8566 0.17413517409718043
Explicit-LM 1640.1185 0.17774559422288858
Explicit-LM 1654.3804 0.1812615351764995
Explicit-LM 1668.6423 0.18468602939018944
Explicit-LM 1682.9042 0.18802252476658632
Explicit-LM 1697.1661 0.19127465161749632
Explicit-LM 1711.4279999999999 0.19444602993474483
Explicit-LM 1725.6898999999999 0.19754022358987103
Explicit-LM 1739.9518 0.2005606889853882
Explicit-LM 1754.2136999999998 0.20351070989579675
Explicit-LM 1768.4755999999998 0.2063934509008387
Explicit-LM 1782.7375 0.20921184442012802
Explicit-LM 1796.9994 0.21196869110676006
Explicit-LM 1811.2613 0.21466665075228458
Explicit-LM 1825.5231999999999 0.21730820535686926
Explicit-LM 1839.7850999999998 0.21989568770688458
Explicit-LM 1854.0469999999998 0.22243127473194982
Explicit-LM 1868.3088999999998 0.22491711314631144
Explicit-LM 1882.5708 0.22735508509765537
Explicit-LM 1896.8327 0.22974706077554694
Explicit-LM 1911.0946 0.23209477487505334
Explicit-LM 1925.3564999999999 0.23439985611030453
Explicit-LM 1939.6183999999998 0.23666386525424038
Explicit-LM 1953.8802999999998 0.2388882630869347
Explicit-LM 1968.1422 0.24107443766481185
Explicit-LM 1982.4041 0.24322371000862836
Explicit-LM 1996.666 0.24533730830090444
Explicit-LM 2010.9279 0.24741642800935032
Explicit-LM 2025.1897999999999 0.2494621929548801
Explicit-LM 2039.4516999999998 0.2514756472583111
Explicit-LM 2053.7136 0.25345785265756965
Explicit-LM 2067.9755 0.2554097131836548
Explicit-LM 2082.2374 0.25733221022009256
Explicit-LM 2096.4993 0.2592261701889307
Explicit-LM 2110.7612 0.2610924647524459
Explicit-LM 2125.0230999999994 0.26293189710514786
Explicit-LM 2139.285 0.2647452249374077
DE-LM 713.095 0.5565969885669901
DE-LM 727.3569 0.5498301292932681
DE-LM 741.6188000000001 0.5431002864205353
DE-LM 755.8807 0.536403843270463
DE-LM 770.1426 0.5297373427176251
DE-LM 784.4045 0.5230973642250842
DE-LM 798.6664000000001 0.5164805585382625
DE-LM 812.9283 0.5098834760553144
DE-LM 827.1902 0.503302879150675
DE-LM 841.4521 0.49673557593668677
DE-LM 855.7139999999999 0.49017809565524856
DE-LM 869.9759 0.4836272228333057
DE-LM 884.2378 0.47707958409384604
DE-LM 898.4997 0.4705318345141283
DE-LM 912.7616 0.4639804899415615
DE-LM 927.0235 0.4574221027156029
DE-LM 941.2854 0.45085307753176246
DE-LM 955.5473 0.44426971411626737
DE-LM 969.8092 0.4376682401811306
DE-LM 984.0711 0.43104467046059863
DE-LM 998.333 0.42439486319744024
DE-LM 1012.5949 0.4177145555892271
DE-LM 1026.8568 0.41099915744209736
DE-LM 1041.1187 0.40424390623258916
DE-LM 1055.3806 0.39744364347112165
DE-LM 1069.6425 0.3905930786650584
DE-LM 1083.9044 0.3836862948719725
DE-LM 1098.1662999999999 0.3767170500732312
DE-LM 1112.4281999999998 0.3696782176317119
DE-LM 1126.6901 0.3625634775348063
DE-LM 1140.952 0.35536377311971296
DE-LM 1155.2139 0.34807065432912904
DE-LM 1169.4758 0.3406742126270255
DE-LM 1183.7377000000001 0.3331636294770696
DE-LM 1197.9995999999999 0.32552654004219983
DE-LM 1212.2615 0.3177494229645715
DE-LM 1226.5234 0.30981653192953335
DE-LM 1240.7853 0.30170987537410465
DE-LM 1255.0472 0.29340890781962586
DE-LM 1269.3091 0.28488925318717545
DE-LM 1283.571 0.276122442921606
DE-LM 1297.8328999999999 0.26707441502405227
DE-LM 1312.0947999999999 0.2577038519864922
DE-LM 1326.3566999999998 0.24796008700228675
DE-LM 1340.6186 0.23777957900657
DE-LM 1354.8805 0.22708123010630146
DE-LM 1369.1424 0.21575980648496274
DE-LM 1383.4043 0.2036741499032984
DE-LM 1397.6662000000001 0.19063809087205022
DE-LM 1411.9281 0.17643285154166996
DE-LM 1426.1899999999998 0.1610861427970249
DE-LM 1440.4519 0.14634185424608878
DE-LM 1454.7138 0.13705602281333787
DE-LM 1468.9757 0.1345679758428965
DE-LM 1483.2376 0.1358424012051103
DE-LM 1497.4995 0.13878512826519784
DE-LM 1511.7613999999999 0.142463286714262
DE-LM 1526.0232999999998 0.1464557362713726
DE-LM 1540.2851999999998 0.15055908452991373
DE-LM 1554.5471 0.1546699080762986
DE-LM 1568.809 0.1587341391195193
DE-LM 1583.0709 0.16272342208903157
DE-LM 1597.3328 0.16662352040424916
DE-LM 1611.5946999999999 0.17042806173637673
DE-LM 1625.8566 0.1741351781680902
DE-LM 1640.1185 0.1777455986254773
DE-LM 1654.3804 0.18126153988901714
DE-LM 1668.6423 0.18468603439372647
DE-LM 1682.9042 0.1880225300446576
DE-LM 1697.1661 0.19127465715578484
DE-LM 1711.4279999999999 0.19444603572078065
DE-LM 1725.6898999999999 0.19754022961194917
DE-LM 1739.9518 0.20056069523366857
DE-LM 1754.2136999999998 0.20351071636104995
DE-LM 1768.4755999999998 0.20639345757472935
DE-LM 1782.7375 0.20921185129498568
DE-LM 1796.9994 0.2119686981754856
DE-LM 1811.2613 0.21466665800847012
DE-LM 1825.5231999999999 0.21730821279449422
DE-LM 1839.7850999999998 0.21989569532072578
DE-LM 1854.0469999999998 0.22243128251622934
DE-LM 1868.3088999999998 0.22491712109682896
DE-LM 1882.5708 0.22735509320920444
DE-LM 1896.8327 0.22974706904446954
DE-LM 1911.0946 0.232094783296812
DE-LM 1925.3564999999999 0.23439986468161936
DE-LM 1939.6183999999998 0.23666387397118424
DE-LM 1953.8802999999998 0.23888827194620949
DE-LM 1968.1422 0.2410744466632241
DE-LM 1982.4041 0.24322371914298563
DE-LM 1996.666 0.24533731756838087
DE-LM 2010.9279 0.24741643740735245
DE-LM 2025.1897999999999 0.24946220248031728
DE-LM 2039.4516999999998 0.2514756569089878
DE-LM 2053.7136 0.25345786243095253
DE-LM 2067.9755 0.25540972307751275
DE-LM 2082.2374 0.25733222023188596
DE-LM 2096.4993 0.2592261803166645
DE-LM 2110.7612 0.2610924749940425
DE-LM 2125.0230999999994 0.2629319074586569
DE-LM 2139.285 0.26474523540086214