Calibration Design of Implied Volatility Surfaces
Year of publication: |
2006-01
|
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Authors: | Detlefsen, Kai ; Härdle, Wolfgang |
Institutions: | Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät |
Subject: | calibration | data design | implied volatility surface | Heston model | cliquet option |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number SFB649DP2006-002 12 pages |
Classification: | C80 - Data Collection and Data Estimation Methodology; Computer Programs. General ; G13 - Contingent Pricing; Futures Pricing |
Source: |
-
Calibration design of implied volatility surfaces
Detlefsen, Kai, (2006)
-
Calibration risk for exotic options
Detlefsen, Kai, (2006)
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Calibration Risk for Exotic Options
Detlefsen, Kai, (2006)
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Forecasting the Term Structure of Variance Swaps
Detlefsen, Kai, (2006)
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Borak, Szymon, (2005)
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Empirical Pricing Kernels and Investor Preferences
Detlefsen, Kai, (2007)
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