ورقة بحثية
Model Calibration in Option Pricing = معايرة النماذج في تسعير الخيارات

Loerx, Andre.


 

Model Calibration in Option Pricing = معايرة النماذج في تسعير الخيارات

Loerx, Andre.

We consider calibration problems for models of pricing derivatives which occur in mathematical finance. We discuss various approaches such as using stochastic differential equations or partial differential equations for the modeling process. We discuss the development in the past literature and give an outlook into modern approaches of modelling. Furthermore, we address important numerical issues in the valuation of options and likewise the calibration of these models. This leads to interesting problems in optimization, where, e.g., the use of adjoint equations or the choice of the parametrization for the model parameters play an important role.

We consider calibration problems for models of pricing derivatives which occur in mathematical finance. We discuss various approaches such as using stochastic differential equations or partial differential equations for the modeling process. We discuss the development in the past literature and give...

مادة فرعية

المؤلف : Loerx, Andre.

مؤلف مشارك : Ekkehard W. Sachs

بيانات النشر : Muscat، Sultanate of Oman : Sultan Qaboos Journal of Science، 2012مـ.

التصنيف الموضوعي : العلوم البحتة| .

المواضيع : Mathematics .

Statistics .

اليرياضيات .

الإحصاء .

رقم الطبعة : 1

المصدر : Sultan Qaboos University : Muscat، Sultanate of Oman.

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