Model Calibration in Option Pricing

Model Calibration in Option Pricing

We consider calibration problems for models of pricing derivatives which occur in mathematical finance. We discuss various approaches such as using stochastic differential equations or partial differential equations for the modeling process. We discuss the development in the past literature and give...

Full description

Bibliographic Details
Main Authors: Andre Loerx, Ekkehard W. Sachs
Format: Article
Language:English
Published: Sultan Qaboos University 2012-04-01
Series:Sultan Qaboos University Journal for Science
Subjects:
Adjoints, Calibration, Jump models, Local volatility models, Mixed models, Partial differential equation (PDE), Stochastic differential equation (SDE), Stochastic volatility models.
Online Access:https://journals.squ.edu.om/index.php/squjs/article/view/389

Internet

https://journals.squ.edu.om/index.php/squjs/article/view/389

Similar Items