Calibration of Local Stochastic Volatility Models to Market Smiles : A Monte-Carlo Approach

In this paper, we introduce a new technique for calibrating local volatility extensions of arbitrary multi-factor stochastic volatility models to market smiles. Although approximate, this technique is both fast and accurate. The procedure is illustrated with the Bergomi variance curve model and the $2$-factor log-normal model

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Year of publication:	2011
Authors:	Henry-Labordere, Pierre
Publisher:	[2011]: [S.l.] : SSRN
Subject:	Optionspreistheorie \| Option pricing theory \| Volatilität \| Volatility \| Stochastischer Prozess \| Stochastic process \| Kleinste-Quadrate-Methode \| Least squares method

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Extent:	1 Online-Ressource (16 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Risk Magazine, September 2009 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 23, 2009 erstellt
Classification:	G13 - Contingent Pricing; Futures Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013134263