Published on 01 September 2025

Heston Parameters and Exotic Option Data for the SPX (2012-2018)

Briciu, Radu

Description

This dataset contains calibrated Heston Stochastic Volatility model paramaters accompanied by a spread of exotic option contracts for each paramter combination. The data served as a training set for a neural network approximation of Barrier and Asian option pricing functions.

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Metrics

Dataset Index

1.6

FAIR Score

65%

Citations

Mentions

Metrics Over Time

Publication Details

DOI

10.17632/8g3p7mj544

Publisher

Mendeley Data

Assigned Domain

Subfield

Finance

Field

Economics, Econometrics and Finance

Domain

Social Sciences

Confidence Score

56%

Source

Scholar Data Model

Keywords

Financial EconomicsFinancial MarketFinancial MathematicsDisequilibrium in Incomplete Market

Normalization Factors

13.46

CTw

1.00

MTw

1.00