Comparison the Calibration of Call Option Pricing Models Based on Stochastic Volatility and Generalized Integral Transformation Technique

The purpose of this research is to compare the calibration of options pricing models based on Stochastic Volatility and the Generalized Integral Transformation Technique. For this purpose, the Generalized Integral Transformation Technique based on fixed Volatility and Heston model based on Stochastic Volatility were used for pricing call options. In order to implement the proposed models, This research has used the call option data offered in the Tehran Stock Exchange. The results showed that in the state of In-the-Money and At-the-Money, the Heston-based calibration works better than the Generalized Integral Transformation Technique in all maturity scenarios. In the case of Out-of-the-Money, although the calibration of the Heston model performs poorly in the short-term scenario, but as the time to maturity increases, the calibration of the Heston model has responded better than the Integral Transformation Technique in the mid-term and long-term scenario. Therefore, it is suggested that in order to develop the educational infrastructure and culturalization of options, the Department of New Financial Instruments of Tehran Stock Exchange Company can consider the model presented in this manuscript to calculate the key parameters of option contracts in different scenarios, And in this way, a more accurate valuation of option contracts can be obtained.