Detlefsen, Kai; Härdle, Wolfgang - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
this end, we calibrate the Heston model to a time series of DAX implied volatility surfaces and then price cliquet options. …
SFB 649 Discussion Paper 2006-002
Calibration Design of
Implied Volatility
Surfaces
Kai …
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Calibration Design of Implied Volatility
Surfaces
K. Detlefsen and W. K. H¨ardle
CASE - Center for Applied …