@techreport{Detlefsen2006Calibration,
abstract = {The calibration of option pricing models leads to the minimization of an error functional. We show that its usual specification as a root mean squared error implies fluctuating exotics prices and possibly wrong prices. We propose a simple and natural method to overcome these problems, illustrate drawbacks of the usual approach and show advantages of our method. To this end, we calibrate the Heston model to a time series of DAX implied volatility surfaces and then price cliquet options.},
address = {Berlin},
author = {Kai Detlefsen and Wolfgang Karl H\"{a}rdle},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {C80; G13; 330; calibration; data design; implied volatility surface; Heston model; cliquet option},
language = {eng},
number = {2006,002},
publisher = {SFB 649, Economic Risk},
title = {Calibration design of implied volatility surfaces},
type = {SFB 649 discussion paper},
url = {http://hdl.handle.net/10419/25085},
year = {2006}
}
