Add to ORKGThe aim of this report is to describe more precisely how the spectral calibration method for exponential Lévy models from option price data, as studied in [1], is implemented and to show some results for finite samples. In Section 2 the whole method is described step by step an
Abstract Robust calibration of option valuation models to quoted option prices is nontrivial, but as...
Abstract. We propose a stable nonparametric method for constructing an option pricing model of expon...
We study the nonparametric calibration of exponential Lévy models with infinite jump activity. In p...
Observing prices of European put and call options, we calibrate exponential Lévy models nonparametr...
We investigate the problem of calibrating an exponential Lévy model based on market prices of vanill...
The problem of calibrating time-inhomogeneous exponential Lévy models with finite jump activity base...
Confidence intervals and joint confidence sets are constructed for the nonparametric calibration of ...
We investigate the problem of calibrating an exponential Lévy model based on market prices of vanill...
The calibration of financial models has become rather important topic in recent years mainly because...
Confidence intervals and joint confidence sets are constructed for the nonparametric calibration of ...
We investigate a parametric method for calibrating European option pricing using the state-of-art ex...
2004We propose a stable nonparametric method for constructing an option pricing model of exponential...
In this Master’s thesis we price exotic options using Monte Carlo simulations. The asset price proce...
Abstract In spite of the popularity of model calibration in …nance, empirical researchers have put m...
Based on options data at the market the problem of calibrating an exponential Lévy model for the und...
Abstract Robust calibration of option valuation models to quoted option prices is nontrivial, but as...
Abstract. We propose a stable nonparametric method for constructing an option pricing model of expon...
We study the nonparametric calibration of exponential Lévy models with infinite jump activity. In p...
Observing prices of European put and call options, we calibrate exponential Lévy models nonparametr...
We investigate the problem of calibrating an exponential Lévy model based on market prices of vanill...
The problem of calibrating time-inhomogeneous exponential Lévy models with finite jump activity base...
Confidence intervals and joint confidence sets are constructed for the nonparametric calibration of ...
We investigate the problem of calibrating an exponential Lévy model based on market prices of vanill...
The calibration of financial models has become rather important topic in recent years mainly because...
Confidence intervals and joint confidence sets are constructed for the nonparametric calibration of ...
We investigate a parametric method for calibrating European option pricing using the state-of-art ex...
2004We propose a stable nonparametric method for constructing an option pricing model of exponential...
In this Master’s thesis we price exotic options using Monte Carlo simulations. The asset price proce...
Abstract In spite of the popularity of model calibration in …nance, empirical researchers have put m...
Based on options data at the market the problem of calibrating an exponential Lévy model for the und...
Abstract Robust calibration of option valuation models to quoted option prices is nontrivial, but as...
Abstract. We propose a stable nonparametric method for constructing an option pricing model of expon...
We study the nonparametric calibration of exponential Lévy models with infinite jump activity. In p...