Contributions to Books:

B. Düring:
"Calibration problems in option pricing";
in: "Nonlinear Models in Mathematical Finance: New Research Trends in Option Pricing", M. Ehrhardt (ed.); Nova Science Publishers, Hauppauge, NY, 2008, (invited), ISBN: 978-1-60456-931-5.

English abstract:
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.

German abstract:
s. engl. Abstract

option pricing, parameter identification, calibration

Related Projects:
Project Head Ansgar Jüngel:
Numerik und Modellierung nichtlinearer partieller Differentialgleichungen zur Beschreibung von Kredit- und Preisrisiken

Created from the Publication Database of the Vienna University of Technology.