2003We present a non-parametric method for calibrating jump-diffusion models to a set of observed option prices. We show that the usual formulations of the inverse problem via nonlinear least squares are ill-posed. In the realistic case where the set of observed prices is discrete and finite, we propose a regularization method based on relative entropy: we reformulate our calibration problem into a problem of finding a risk neutral jump-diffusion model that reproduces the observed option prices and has the smallest possible relative entropy with respect to a chosen prior model. We discuss the numerical implementation of our method using a gradient based optimization and show via simulation tests on various examples that using the entropy pe...
We introduce a discrete trinomial market model, with the relative risk-neutral measures, that conver...
The economic theory of option pricing imposes constraints on the structure of call functions and sta...
In this paper we propose a jump-diffusion Libor model with jumps in a high-dimensional space and tes...
2003We present a non-parametric method for calibrating jump-diffusion models to a set of observed op...
An important issue in finance is model calibration. The calibration problem is the inverse of the op...
DoctorAccording to numerous empirical evidences observed in option markets, it is clear that the cel...
Abstract. We propose a stable nonparametric method for constructing an option pricing model of expon...
2004We propose a stable nonparametric method for constructing an option pricing model of exponential...
We present a framework for calibrating a pricing model to a prescribed set of option prices quoted i...
The shortcomings of diffusion models in representing the risk related to large market movements have...
In the first part of this thesis, we studied the impact on prices of options volatility estimation e...
In this paper we propose a simple non-parametric calibration procedure of option prices based on the...
A jump diffusion model coupled with a local volatility function has been suggested by Andersen and A...
We study the robustness of option prices to model variation within a jump-diffusion framework. In pa...
This paper presents an improved continuous-time Markov chain approximation (MCA) methodology for pri...
We introduce a discrete trinomial market model, with the relative risk-neutral measures, that conver...
The economic theory of option pricing imposes constraints on the structure of call functions and sta...
In this paper we propose a jump-diffusion Libor model with jumps in a high-dimensional space and tes...
2003We present a non-parametric method for calibrating jump-diffusion models to a set of observed op...
An important issue in finance is model calibration. The calibration problem is the inverse of the op...
DoctorAccording to numerous empirical evidences observed in option markets, it is clear that the cel...
Abstract. We propose a stable nonparametric method for constructing an option pricing model of expon...
2004We propose a stable nonparametric method for constructing an option pricing model of exponential...
We present a framework for calibrating a pricing model to a prescribed set of option prices quoted i...
The shortcomings of diffusion models in representing the risk related to large market movements have...
In the first part of this thesis, we studied the impact on prices of options volatility estimation e...
In this paper we propose a simple non-parametric calibration procedure of option prices based on the...
A jump diffusion model coupled with a local volatility function has been suggested by Andersen and A...
We study the robustness of option prices to model variation within a jump-diffusion framework. In pa...
This paper presents an improved continuous-time Markov chain approximation (MCA) methodology for pri...
We introduce a discrete trinomial market model, with the relative risk-neutral measures, that conver...
The economic theory of option pricing imposes constraints on the structure of call functions and sta...
In this paper we propose a jump-diffusion Libor model with jumps in a high-dimensional space and tes...