Calibration Risk for Exotic Options

Option 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...

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Authors:	Detlefsen, Kai ; Härdle, W. K.
Institutions:	Sonderforschungsbereich Ökonomisches Risiko <Berlin>
Subject:	Optionspreistheorie \| Risikomanagement \| risk management \| Derivate \| Barrier options

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Extent:	358400 bytes 30 p. application/pdf
Series:	Humboldt-Universität zu Berlin - Sonderforschungsbereich 649 - Discussion Papers SFB 649 Discussion Paper ; 2006-001
Type of publication:	Book / Working Paper
Language:	English
ISSN:	1860-5664
Classification:	C13 - Estimation ; G12 - Asset Pricing ; Specific management methods ; 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/10005854720