Contributions to Books:
"Calibration problems in option pricing";
in: "Nonlinear Models in Mathematical Finance: New Research Trends in Option Pricing",
M. Ehrhardt (ed.);
Nova Science Publishers,
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.
s. engl. Abstract
option pricing, parameter identification, calibration
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.