CALIBRATION: Markovian projection for volatility calibration The author looks at the 'Markovian projection method', a way of obtaining closed-form approximations of European-style option prices on various underlyings that, in principle, is applicable to any (diffusive) model. The aim is to distil the essence of the method into a conceptually simple 'plan of attack' that anyone who wants to obtain ...
| Year of publication: |
2007
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| Authors: | Piterbarg, Vladimir |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 20.2007, 4, p. 84-89
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