Calibrating Option Pricing Models with Heuristics

Calibrating option pricing models to market prices often leads to optimisation problems to which standard methods (like such based on gradients) cannot be applied. We investigate two models: Heston's stochastic volatility model, and Bates's model which also includes jumps. We discuss how to price options under these models, and how to calibrate the parameters of the models with heuristic techniques. Sample Matlab code is provided

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Year of publication:	2013
Authors:	Gilli, Manfred
Other Persons:	Schumann, Enrico (contributor)
Publisher:	[2013]: [S.l.] : SSRN
Subject:	Mathematische Optimierung \| Mathematical programming \| Stochastischer Prozess \| Stochastic process \| Optionspreistheorie \| Option pricing theory \| Volatilität \| Volatility \| Heuristik \| Heuristics

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Extent:	1 Online-Ressource (39 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: NATURAL COMPUTING IN COMPUTATIONAL FINANCE, Anthony Brabazon, Michael O'Neill, Dietmar Maringer, eds., Vol. 4, Springer, 2011 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 27, 2013 erstellt
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C63 - Computational Techniques ; G13 - Contingent Pricing; Futures Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013095037