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https://hdl.handle.net/10419/25085
Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Detlefsen, Kai | en |
dc.contributor.author | Härdle, Wolfgang Karl | en |
dc.date.accessioned | 2006-05-29 | - |
dc.date.accessioned | 2009-07-23T14:43:25Z | - |
dc.date.available | 2009-07-23T14:43:25Z | - |
dc.date.issued | 2006 | - |
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 |
dc.language.iso | eng | en |
dc.publisher | |aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlin | en |
dc.relation.ispartofseries | |aSFB 649 Discussion Paper |x2006,002 | en |
dc.subject.jel | C80 | en |
dc.subject.jel | G13 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | calibration | en |
dc.subject.keyword | data design | en |
dc.subject.keyword | implied volatility surface | en |
dc.subject.keyword | Heston model | en |
dc.subject.keyword | cliquet option | en |
dc.title | Calibration design of implied volatility surfaces | - |
dc.type | |aWorking Paper | en |
dc.identifier.ppn | 512458049 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
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