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Calibration Design of Implied Volatility Surfaces
並列摘要
The calibration of option pricing models leads to the minimization of an error functional. We show that its usual specification as a root mean squared error implies prices of exotic options that can change abruptly when plain vanilla options expire. We propose a simple and natural method to overcome these problems, illustrate drawbacks of the usual approach and show advantages of our method. To this end, we calibrate the Heston model to a time series of DAX implied volatility surfaces and then price cliquet options.
被引用紀錄
王崇政（2015）。預測風險中立機率之高階動差及其選擇權投資組合:臺灣加權指數選擇權之實證分析〔碩士論文，國立交通大學〕。華藝線上圖書館。https://doi.org/10.6842/NCTU.2015.00268
彭徵維（2015）。臉部特徵作為觀察的反思〔碩士論文，國立臺北藝術大學〕。華藝線上圖書館。https://doi.org/10.6835/TNUA.2015.00105
陳致佑（2008）。隨機過程下不完全市場一些金融商品的定價與避險〔碩士論文，國立清華大學〕。華藝線上圖書館。https://www.airitilibrary.com/Article/Detail?DocID=U0016-2002201314505484
陳奕志（2015）。氧化亞錫鋰鈦氧複合材於高能鋰電池負極之應用〔碩士論文，國立中央大學〕。華藝線上圖書館。https://www.airitilibrary.com/Article/Detail?DocID=U0031-0412201512085294
延伸閱讀
- Ching, C. (2013). GPU-Based Monte Carlo Calibration to Implied Volatility Surfaces under Multi-Factor Stochastic Volatility Model [master's thesis, National Tsing Hua University]. Airiti Library. https://doi.org/10.6843/NTHU.2013.00665
- Lee, S. Y. (2020). Option Implied Volatility Index and Stock Returns [master's thesis, National Chiao Tung University]. Airiti Library. https://www.airitilibrary.com/Article/Detail?DocID=U0030-1504202111232218
- Yang, B. H. (2008). Information Contents of Implied Volatility Index: Evidences from Taiwan Option Market [master's thesis, National Tsing Hua University]. Airiti Library. https://www.airitilibrary.com/Article/Detail?DocID=U0016-0207200810155265
- 劉曉燕（2009）。Implied Volatility and Value at Risk of Stock〔碩士論文，中原大學〕。華藝線上圖書館。https://doi.org/10.6840/cycu200900469
- 黃崇銓（2008）。Forward Information from Model-Free Implied Volatility Spread〔碩士論文，國立中央大學〕。華藝線上圖書館。https://www.airitilibrary.com/Article/Detail?DocID=U0031-0207200917354842