this end, we calibrate the Heston model to a time series of DAX implied volatility surfaces and then price cliquet options …

The analysis of volatility in financial markets has become a first rank issue in modern financial theory and practice … of volatility. Much research has been done on the analysis of realized historic volatilities, Roll (1977) and references … solved for the constant volatility parameter a using observed option prices. This is a more natural approach as the option …

this end, we calibrate the Heston model to a time series of DAX implied volatility surfaces and then price cliquet options …. -- calibration ; data design ; implied volatility surface ; Heston model ; cliquet option …

this calibration risk in a time series of DAX implied volatility surfaces from April 2003 to March 2004. We analyze in the … functional. Moreover, we determine the model risk of these two stochastic volatility models for the time series and consider its …

this calibration risk in a time series of DAX implied volatility surfaces from April 2003 to March 2004. We analyze in the … functional. Moreover, we determine the model risk of these two stochastic volatility models for the time series and consider its …

preferences with respect to volatility and investment horizon. The empirical PKs turn out to be U-shaped for short …