title: Test data sets for calibration of stochastic and fractional stochastic volatility models.
abstract: Data for calibration and out-of-sample error testing of option pricing models are provided alongside data obtained from optimization procedures in "On calibration of stochastic and fractional stochastic volatility models" [1]. Firstly we describe testing data sets, further calibration data obtained from combined optimizers is visually depicted - interactive 3d bar plots are provided. The data is suitable for a further comparison of other optimization routines and also to benchmark different pricing models.
authors.affiliation: NTIS - New Technologies for the Information Society, Faculty of Applied Sciences, University of West Bohemia, Czech Republic.
authors.forename: Jan
authors.initials: J
authors.lastname: Pospíšil
authors.affiliation: NTIS - New Technologies for the Information Society, Faculty of Applied Sciences, University of West Bohemia, Czech Republic.
authors.forename: Tomáš
authors.initials: T
authors.lastname: Sobotka
keywords: Calibration data; Fractional stochastic volatility model; Heston model; Option pricing; Out-of-sample error