Matlab (or Python) code for calibration of market option prices for variance gamma and CGMY model

[Marina_Popova]

Hello,
Could anyone give me some advice on which book/website to read about calibration of market option prices?
I am writing an MSc dissertation at the moment and would like to include a chapter about the calibration of market option prices. I have never used optimization packages in Python or Matlab before and cannot find information on how to use them for this particular problem.
I defined the characteristic function for the log-return, defined the function for finding a call price using Carr-Madan approach via fast Fourier transform, defined the function for finding root mean squared error... But how to find optimal parameters of the model, that minimize RMSE, I do not know...
I would be grateful for any ideas and help!

 

[Zororo Makumbe]

I know this is old but someone might find the answer helpful.

Yves Hilpsich
Derivatives Analytics with Python: Data Analysis, Models, Simulation, Calibration and Hedging (The Wiley Finance Series)

 

[Daniel Duffy]

This book, with Matlab code

Financial Modelling: Theory, Implementation and Practice with MATLAB Source : Kienitz, Joerg, Wetterau, Daniel: Amazon.nl: Boeken

Financial Modelling: Theory, Implementation and Practice with MATLAB Source : Kienitz, Joerg, Wetterau, Daniel: Amazon.nl: Boeken

www.amazon.nl