BSM, Black and Heston model simulated data
Synthetic option price data generated by BSM, Black and Heston models. For each model we seperate the data in test and training data. The training data provides relevant information for 10 price paths where the test data provides relevant information for 500 price paths.
The difference between the Heston_test_final and Heston_test1_final is that the Heston_test1 final the implied volatility as a column.
We also include the calibrated Heston parameters used required to simulate the data. These .csv file are parameters calibrated for 90, 59 and 30 days from expiry based on options contracts on the FTSE/JSE Top 40 Index futures contract which expired in June 2018.