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Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/25085
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Detlefsen, Kai | | en_US |
| dc.contributor.author | | Härdle, Wolfgang Karl | | en_US |
| dc.date.accessioned | | 2006-05-29 | | en_US |
| dc.date.accessioned | | 2009-07-23T14:43:25Z | | - |
| dc.date.available | | 2009-07-23T14:43:25Z | | - |
| dc.date.issued | | 2006 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/25085 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | SFB 649, Economic Risk Berlin | | en_US |
| dc.relation.ispartofseries | | SFB 649 discussion paper 2006,002 | | en_US |
| dc.subject.jel | | C80 | | en_US |
| dc.subject.jel | | G13 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | calibration | | en_US |
| dc.subject.keyword | | data design | | en_US |
| dc.subject.keyword | | implied volatility surface | | en_US |
| dc.subject.keyword | | Heston model | | en_US |
| dc.subject.keyword | | cliquet option | | en_US |
| dc.title | | Calibration design of implied volatility surfaces | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 512458049 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | SFB 649 Discussion Papers, HU Berlin
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