Efficient calibration for problems in option pricing
Identifieur interne : 000759 ( Istex/Corpus ); précédent : 000758; suivant : 000760Efficient calibration for problems in option pricing
Auteurs : A. M. Giese ; C. Kaebe ; J. H. Maruhn ; E. W. SachsSource :
- PAMM [ 1617-7061 ] ; 2007-12.
Abstract
The pricing of derivatives has gained considerable importance in the finance industry and leads to challenging problems in numerical optimization. We focus on the numerical solution of a stochastic model for option prices. In particular, we are concerned with the calibration of these models to real data, which leads to large scale optimization problems. We consider the numerical solution of these optimization problems and give some indication how to reduce the complexity of these problems. Special emphasis is devoted to a multi‐layer strategy which is embedded into the optimization iteration. (© 2008 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)
Url:
DOI: 10.1002/pamm.200701141
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Heston</name></json:item></author><host><volume>6</volume><pages><last>343</last><first>327</first></pages><author></author><title>The Review of Financial Studies</title></host><title>A Closed‐Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options</title></json:item><json:item><author><json:item><name>C.T. Kelley</name></json:item><json:item><name>E.W. Sachs</name></json:item></author><host><volume>15</volume><pages><last>667</last><first>645</first></pages><author></author><title>SIAM J. Scientific and Stat. Computing</title></host><title>Multilevel Algorithms for Constrained Compact Fixed Point Problems</title></json:item><json:item><host><author></author><title>Numerical Solution of Stochastic Differential Equations, Springer, 1999.</title></host></json:item><json:item><host><author></author><title>A Comparison of Biased Simulation Schemes for Stochastic Volatility Models, Tinbergen Institute Discussion Papers, 2006.</title></host></json:item><json:item><author><json:item><name>A. Shapiro</name></json:item><json:item><name>T. Homem‐De‐Mello</name></json:item></author><host><volume>11</volume><pages><last>86</last><first>72</first></pages><author></author><title>SIAM J. 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