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dc.contributor.authorDetlefsen, Kaien_US
dc.contributor.authorHärdle, Wolfgang Karlen_US
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.publisherSFB 649, Economic Risk Berlinen_US
dc.relation.ispartofseriesSFB 649 discussion paper 2006,002en_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
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

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