Arbeitspapier
Calibration design of implied volatility surfaces
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 649 Discussion Paper ; No. 2006,002
- Klassifikation
-
Wirtschaft
Data Collection and Data Estimation Methodology; Computer Programs: General
Contingent Pricing; Futures Pricing; option pricing
- Thema
-
calibration
data design
implied volatility surface
Heston model
cliquet option
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Detlefsen, Kai
Härdle, Wolfgang Karl
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
- (wo)
-
Berlin
- (wann)
-
2006
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:46 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Detlefsen, Kai
- Härdle, Wolfgang Karl
- Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Entstanden
- 2006
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