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-parametric calibration algorithm which takes into account a given local covariance structure. The algorithm returns smooth and simply …
Persistent link: https://www.econbiz.de/10005489951
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. …
Persistent link: https://www.econbiz.de/10005652747
processes. A stable calibration procedure which takes into account a given local correlation structure is presented. The … calibration algorithm is FFT based, so fast and easy to implement. …
Persistent link: https://www.econbiz.de/10005677910
The calibration of option pricing models leads to the minimization of an error functional. We show that its usual …
Persistent link: https://www.econbiz.de/10005784859
This paper studies polar sets of anisotropic Gaussian random fields, i.e. sets which a Gaussian random field does not hit almost surely. The main assumptions are that the eigenvalues of the covariance matrix are bounded from below and that the canonical metric associated with the Gaussian random...
Persistent link: https://www.econbiz.de/10008472096