Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/25085 
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dc.contributor.authorDetlefsen, Kaien
dc.contributor.authorHärdle, Wolfgang Karlen
dc.date.accessioned2006-05-29-
dc.date.accessioned2009-07-23T14:43:25Z-
dc.date.available2009-07-23T14:43:25Z-
dc.date.issued2006-
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
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlinen
dc.relation.ispartofseries|aSFB 649 Discussion Paper |x2006,002en
dc.subject.jelC80en
dc.subject.jelG13en
dc.subject.ddc330en
dc.subject.keywordcalibrationen
dc.subject.keyworddata designen
dc.subject.keywordimplied volatility surfaceen
dc.subject.keywordHeston modelen
dc.subject.keywordcliquet optionen
dc.titleCalibration design of implied volatility surfaces-
dc.type|aWorking Paperen
dc.identifier.ppn512458049en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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