ASA technique was developed by Lester Ingber to facilitate calculation of global minima for a nonlinear function. For more detailed information about the algorithm and it's usage, please refer to the author's Author's website
One important application is calibration of heston model, because the parameters are correlated and other numerical optimization methods tend to provide solution which is more sensitive to selection of initial parameter values.
This project implements calibration of Heston models using Adaptive simulated annealing.
To run this project,do the following
1.unzip the attached download file and extract the testheston project folder
2.download project files from file http://downloads.sourceforge.net/asa-caltech/ASA-26.33.zip?modtime=1230643798&big_mirror=0.
Place the file asa.h and asa.c in the testheston->testheston folder.
testheston.sln in Visual C++ 2005 express
4.Do a build all.
6.The results of calibration are in file asa_out.
To play around with ASA optimization, make changes to initial parameters and other settings in asa_opt file