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2006-01-06Buch DOI: 10.18452/3928
Calibration Risk for Exotic Options
dc.contributor.authorDetlefsen, Kai
dc.contributor.authorHärdle, Wolfgang
dc.date.accessioned2017-06-15T23:02:14Z
dc.date.available2017-06-15T23:02:14Z
dc.date.created2006-01-11
dc.date.issued2006-01-06
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4580
dc.description.abstractOption pricing models are calibrated to market data of plain vanillas by minimization of an error functional. From the economic viewpoint, there are several possibilities to measure the error between the market and the model. These different specifications of the error give rise to different sets of calibrated model parameters and the resulting prices of exotic options vary significantly. These price differences often exceed the usual profit margin of exotic options. We provide evidence for this calibration risk in a time series of DAX implied volatility surfaces from April 2003 to March 2004. We analyze in the Heston and in the Bates model factors influencing these price differences of exotic options and finally recommend an error functional. Moreover, we determine the model risk of these two stochastic volatility models for the time series and consider its relation to calibration risk.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subjectcalibration riskeng
dc.subjectcalibrationeng
dc.subjectmodel riskeng
dc.subjectHeston modeleng
dc.subjectBates modeleng
dc.subjectbarrier optioneng
dc.subjectcliquet optioneng
dc.subject.ddc330 Wirtschaft
dc.titleCalibration Risk for Exotic Options
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10055962
dc.identifier.doihttp://dx.doi.org/10.18452/3928
dc.subject.dnb17 Wirtschaft
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages30
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2006
local.edoc.container-issue1
local.edoc.container-year2006
local.edoc.container-erstkatid2195055-6

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