Implied Calibration of Stochastic Volatility Jump Diffusion Models

In the context of arbitrage-free modelling of financial derivatives, we introduce a novel calibration technique for models in the affine- quadratic class for the purpose of contingent claims pricing and risk- management. In particular, we aim at calibrating a stochastic volatility jump diffusion model to the whole market volatility surface at any given time. We numerically implement the algorithm and show that the proposed approach is both stable and accurate.

MoreLess

Year of publication:	2005-10-25
Authors:	Galluccio, Stefano ; Cam, Yann Le
Institutions:	EconWPA
Subject:	Affine-quadratic models \| Option pricing \| Model Calibration

More details

Extent:	application/pdf
Series:	Finance.
Type of publication:	Book / Working Paper
Notes:	Type of Document - pdf; pages: 40 40 pages
Classification:	G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005076950