SWIFT Calibration of the Heston Model

In the present work, SWIFT method for pricing European options is extended to Heston model calibration. The computation of option price gradient simplified thanks knowledge characteristic function in closed form. proposed calibration machinery appears be extremely fast, particular a single expiry and multiple strikes, outperforming state-of-the-art we compare it with. Further, priori parameters makes reliable practical implementation presented possible. A wide range stress, speed convergence numerical experiments carried out, with deep in-the-money, at-the-money out-of-the-money very short long maturities.