Buchbeiträge:
B. Düring:
"Calibration problems in option pricing";
in: "Nonlinear Models in Mathematical Finance: New Research Trends in Option Pricing",
M. Ehrhardt (Hrg.);
Nova Science Publishers,
Hauppauge, NY,
2008, (eingeladen),
ISBN: 978-1-60456-931-5.
Kurzfassung deutsch:
s. engl. Abstract
Kurzfassung englisch:
We review different approaches to calibrate volatility functions in Black-Scholes type models to market data. We focus on an optimal control approach, where a regularized cost functional is minimized over a suitable set of admissible volatilities. The cost functional measures the deviations of option prices obtained from a pricing model to the given market data. We discuss the Black-Scholes case as well as the extension to pricing models in markets with frictions, e.g. models for option pricing in the presence of transaction costs.
Schlagworte:
option pricing, parameter identification, calibration
Zugeordnete Projekte:
Projektleitung Ansgar Jüngel:
Numerik und Modellierung nichtlinearer partieller Differentialgleichungen zur Beschreibung von Kredit- und Preisrisiken
Erstellt aus der Publikationsdatenbank der Technischen Universität Wien.