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2006-01-09Buch DOI: 10.18452/3929
Calibration Design of Implied Volatility Surfaces
dc.contributor.authorDetlefsen, Kai
dc.contributor.authorHärdle, Wolfgang Karl
dc.date.accessioned2017-06-15T23:02:26Z
dc.date.available2017-06-15T23:02:26Z
dc.date.created2006-01-11
dc.date.issued2006-01-09
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4581
dc.description.abstractThe 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.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectimplied volatility surfaceeng
dc.subjectcalibrationeng
dc.subjectHeston modeleng
dc.subjectcliquet optioneng
dc.subjectdata designeng
dc.subject.ddc330 Wirtschaft
dc.titleCalibration Design of Implied Volatility Surfaces
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10055975
dc.identifier.doihttp://dx.doi.org/10.18452/3929
dc.subject.dnb17 Wirtschaft
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages12
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2006
local.edoc.container-issue2
local.edoc.container-year2006
local.edoc.container-erstkatid2195055-6

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