Efficient calibration for problems in option pricing
Identifieur interne : 001349 ( Main/Exploration ); précédent : 001348; suivant : 001350Efficient calibration for problems in option pricing
Auteurs : A. M. Giese [Allemagne] ; C. Kaebe [Allemagne] ; J. H. Maruhn [Allemagne] ; E. W. Sachs [Allemagne, États-Unis]Source :
- 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
Affiliations:
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Kaebe</name><name sortKey="Maruhn, J H" sort="Maruhn, J H" uniqKey="Maruhn J" first="J. H." last="Maruhn">J. H. Maruhn</name><name sortKey="Sachs, E W" sort="Sachs, E W" uniqKey="Sachs E" first="E. W." last="Sachs">E. W. Sachs</name></country><country name="États-Unis"><region name="Virginie"><name sortKey="Sachs, E W" sort="Sachs, E W" uniqKey="Sachs E" first="E. W." last="Sachs">E. W. Sachs</name></region></country></tree></affiliations></record>Pour manipuler ce document sous Unix (Dilib)
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