Showing 51 - 60 of 129,790
We focus on two particular aspects of model risk: the inability of a chosen model to fit observed market prices at a given point in time (calibration error) and the model risk due to the recalibration of model parameters (in contradiction to the model assumptions). In this context, we use...
Persistent link: https://www.econbiz.de/10013200683
Persistent link: https://www.econbiz.de/10010511560
thesystematc volatility of the consumption process, our estimation results suggestthat the short-term interest rate fails to be a …
Persistent link: https://www.econbiz.de/10011284060
Persistent link: https://www.econbiz.de/10011378591
At the time of writing this article, Fourier inversion is the computational method of choice for a fast and accurate calculation of plain vanilla option prices in models with an analytically available characteristic function. Shifting the contour of integration along the complex plane allows for...
Persistent link: https://www.econbiz.de/10011349177
The characteristic functions of many affine jump-diffusion models, such as Heston’s stochastic volatility model and all of its extensions, involve multivalued functions such as the complex logarithm. If we restrict the logarithm to its principal branch, as is done in most software packages,...
Persistent link: https://www.econbiz.de/10011349189
Persistent link: https://www.econbiz.de/10010529639
Persistent link: https://www.econbiz.de/10009627431
Persistent link: https://www.econbiz.de/10009407678
Persistent link: https://www.econbiz.de/10010352003