Calibration risk : illustrating the impact of calibration risk under the Heston model
Florence Guillaume; Wim Schoutens
| Year of publication: |
2012
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|---|---|
| Authors: | Guillaume, Florence ; Schoutens, Wim |
| Published in: |
Review of derivatives research. - Norwell, Mass. [u.a.] : Springer, ISSN 1380-6645, ZDB-ID 1387516-4. - Vol. 15.2012, 1, p. 57-79
|
| Subject: | Heston model | Calibration | Model risk | Calibration risk | Exotic options | Optionspreistheorie | Option pricing theory | Risiko | Risk | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionsgeschäft | Option trading | Risikomanagement | Risk management | Risikomaß | Risk measure | Modellierung | Scientific modelling |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009627433