Detlefsen, Kai; Härdle, Wolfgang - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
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quet options.
Key words: calibration, data design, implied volatility surface,
Heston model, cliquet option
JEL codes: C80 ….5
1
1.5
2
2.5
3
3.5
4
4.5
5
time to maturity
Figure 1: Grid of the DAX implied volatility surface of the EUREX on March
1 … a good fit if there are enough data points. But in general implied
volatility surface do not have enough data points for …