Regularized Calibration of Jump-Diffusion Option Pricing Models
An important issue in finance is model calibration. The calibration problem is the inverse of the option pricing problem. Calibration is performed on a set of option prices generated from a given exponential L´evy model. By numerical examples, it is shown that the usual formulation of the inverse pr...
| Main Author: | |
|---|---|
| Format: | Others |
| Language: | English |
| Published: |
Linnéuniversitetet, Institutionen för datavetenskap, fysik och matematik, DFM
2010
|
| Subjects: | |
| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-9063 |