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The αVG model for multivariate asset pricing: calibration and extension

Guillaume, Florence - In: Review of Derivatives Research 16 (2013) 1, pp. 25-52

the calibration fit of both univariate option surfaces and market implied correlations for a period extending from the 2nd … of June 2008 until the 30th of October 2009 under the two model settings and assess the calibration risk arising from … different calibration procedures by pricing traditional multivariate exotic options. In particular we show that the decoupling …

Persistent link: https://www.econbiz.de/10010989566

Calibration risk: Illustrating the impact of calibration risk under the Heston model

Guillaume, Florence; Schoutens, Wim - In: Review of Derivatives Research 15 (2012) 1, pp. 57-79

Persistent link: https://www.econbiz.de/10010867549

Calibration and hedging under jump diffusion

He, C.; Kennedy, J.; Coleman, T.; Forsyth, P.; Li, Y.; … - In: Review of Derivatives Research 9 (2006) 1, pp. 1-35

intrinsic to this type of model: calibration of parameters and hedging of jump risk. Even though the estimation problem is ill …

Persistent link: https://www.econbiz.de/10005709826

On pricing options with stressed-beta in a reduced form model

Kim, Geonwoo; Lim, Hyuncheul; Lee, Sungchul - In: Review of Derivatives Research 18 (2015) 1, pp. 29-50

<Para ID="Par1">We consider the valuation of options with stressed-beta in a reduced form model. Under this two-state beta model, we provide the analytic pricing formulae for the European options and American options as the integral forms. Specifically, we provide the integral representation of the early...</para>

Persistent link: https://www.econbiz.de/10011242060