怎么找S&P500 call option数据,求高人指点

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收藏 2011-08-09

Hey, all.

I am doing the calibration of heston model, I need the call price of the options on S&P 500. It's like a table including strikes, bid/ask, maturity,etc.
Since I am not from finance, it is really difficult for me to find the real data. Is there some NBs who can point out where I can get the data?

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hangli2

2011-8-10 21:31:54

I have SPX data as of March 7th 2011. I used it to test Dupire's model.

U can try to download from Bloomberg terminal. Cheers.

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SPX500.xls

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hdznarcissus

2011-8-10 22:22:52

hangli2 发表于 2011-8-10 21:31
I have SPX data as of March 7th 2011. I used it to test Dupire's model.

U can try to download fro ...

Hi, hangli2.
Thank you very much, but there is still another problem confusing me.
You know there are bid and ask pric, but in my calculation I just need the option price, rather than either of them. However, my supervisor told me the average of ask/bid is still not a good estimation.
Would you please me how did you deal with the ask/bid spread? In other words, in your model what kind of option price did you utilize?