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...

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Authors:	Detlefsen, Kai ; Härdle, Wolfgang K.
Institutions:	Sonderforschungsbereich Ökonomisches Risiko <Berlin>
Subject:	Optionspreistheorie \| Anpassung

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Extent:	242688 bytes 12 p. application/pdf
Series:	Humboldt-Universität zu Berlin - Sonderforschungsbereich 649 - Discussion Papers SFB 649 Discussion Paper ; 2006-002
Type of publication:	Book / Working Paper
Language:	English
Classification:	C80 - Data Collection and Data Estimation Methodology; Computer Programs. General ; G13 - Contingent Pricing; Futures Pricing ; Employment of capital, capital investment planning and estimate of investment profitability ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005854719