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  • 1
    Online Resource
    Online Resource
    Calibration Design of Implied Volatility Surfaces (2006)
    Berlin : Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
    Details
    UID:
    edochu_18452_4581
    Format: 1 Online-Ressource (12 Seiten)
    ISSN: 1860-5664
    Series Statement: 2006,2
    Content: The calibration of option pricing models leads to the minimization of an error functional. We show that its usual specification as a root mean squared error implies fluctuating exotics prices and possibly wrong prices. We propose a simple and natural method to overcome these problems, illustrate drawbacks of the usual approach and show advantages of our method. To this end, we calibrate the Heston model to a time series of DAX implied volatility surfaces and then price cliquet options.
    Language: English
    DOI: 10.18452/3929
    URN: urn:nbn:de:kobv:11-10055975
    URL: Volltext  (kostenfrei)
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