Detlefsen, Kai; Härdle, Wolfgang - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
this calibration risk in a time series of DAX implied volatility surfaces from April 2003 to March 2004. We analyze in the … relation to calibration risk. …
SFB 649 Discussion Paper 2006-001
Calibration Risk for
Exotic Options
Kai Detlefsen …
