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dc.contributor.authorDetlefsen, Kaien_US
dc.contributor.authorHärdle, Wolfgang Karlen_US
dc.date.accessioned2006-05-29en_US
dc.date.accessioned2009-07-23T14:43:25Z-
dc.date.available2009-07-23T14:43:25Z-
dc.date.issued2006en_US
dc.identifier.urihttp://hdl.handle.net/10419/25085-
dc.description.abstractThe 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.en_US
dc.language.isoengen_US
dc.publisherSFB 649, Economic Risk Berlinen_US
dc.relation.ispartofseriesSFB 649 discussion paper 2006,002en_US
dc.subject.jelC80en_US
dc.subject.jelG13en_US
dc.subject.ddc330en_US
dc.subject.keywordcalibrationen_US
dc.subject.keyworddata designen_US
dc.subject.keywordimplied volatility surfaceen_US
dc.subject.keywordHeston modelen_US
dc.subject.keywordcliquet optionen_US
dc.titleCalibration design of implied volatility surfacesen_US
dc.typeWorking Paperen_US
dc.identifier.ppn512458049en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

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