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Calibration Risk for Exotic Options
Detlefsen, Kai; Härdle, Wolfgang - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
this calibration risk in a time series of DAX implied volatility surfaces from April 2003 to March 2004. We analyze in the … relation to calibration risk. …
Persistent link: https://www.econbiz.de/10005652747
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Calibration Design of Implied Volatility Surfaces
Detlefsen, Kai; Härdle, Wolfgang - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
The calibration of option pricing models leads to the minimization of an error functional. We show that its usual …
Persistent link: https://www.econbiz.de/10005784859
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A bootstrap test for single index models
Härdle, Wolfgang; Proença, Isabel - 1994
Persistent link: https://www.econbiz.de/10000891356
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Testing a regression model when we have smooth alternatives in mind
Härdle, Wolfgang - 1992
Persistent link: https://www.econbiz.de/10000858566
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Applied nonparametric methods
Härdle, Wolfgang - 1992
Persistent link: https://www.econbiz.de/10000831909
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How sensitive are average derivatives?
Härdle, Wolfgang; Cybakov, Aleksandr B. - 1992
Persistent link: https://www.econbiz.de/10000834352
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Testomg increasing dispersion
Härdle, Wolfgang - 1992
Persistent link: https://www.econbiz.de/10000839552
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Symmetrized nearest neighbor regression estimates
Carroll, Raymond J. - 1987
Persistent link: https://www.econbiz.de/10000750200
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Bandwidth choice for density derivatives
Härdle, Wolfgang - 1988
Persistent link: https://www.econbiz.de/10000750202
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Cross section Engel curves over time
Härdle, Wolfgang; Jerison, Michael - 1988
Persistent link: https://www.econbiz.de/10000735780