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Talks and Poster Presentations (without Proceedings-Entry):

B. Düring:
"Calibration problems in option pricing";
Talk: "International Conference on Price, Liquidity, and Credit Risks", Konstanz; 2008-10-03 - 2008-10-04.



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

Keywords:
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.