Accelerating the calibration of stochastic volatility models
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References listed on IDEAS
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Citations
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Cited by:
- Cristian Homescu, 2011. "Implied Volatility Surface: Construction Methodologies and Characteristics," Papers 1107.1834, arXiv.org.
- Inklaar, Robert & Koetter, Michael & Noth, Felix, 2012. "Who's afraid of big bad banks? Bank competition, SME, and industry growth," Frankfurt School - Working Paper Series 197, Frankfurt School of Finance and Management.
- Dietmar Harhoff & Elisabeth Mueller & John Reenen, 2014.
"What are the Channels for Technology Sourcing? Panel Data Evidence from German Companies,"
Journal of Economics & Management Strategy,
Wiley Blackwell, vol. 23(1), pages 204-224, March.
- Harhoff, Dietmar, 2012. "What are the Channels for Technology Sourcing? Panel Data Evidence from German Companies," Discussion Papers in Business Administration 14327, University of Munich, Munich School of Management.
- Dietmar Harhoff & Elisabeth Mueller & John Van Reenen, 2013. "What are the Channels for Technology Sourcing? Panel Data Evidence from German Companies," CEP Discussion Papers dp1193, Centre for Economic Performance, LSE.
- Harhoff, Dietmar & Mueller, Elisabeth & Van Reenen, John, 2012. "What are the channels for technology sourcing? Panel data evidence from German companies," Frankfurt School - Working Paper Series 187, Frankfurt School of Finance and Management.
- Harhoff, Dietmar & Mueller, Elisabeth & Van Reenen, John, 2013. "What are the channels for technology sourcing? Panel data evidence from German companies," LSE Research Online Documents on Economics 51524, London School of Economics and Political Science, LSE Library.
- Boeing, Philipp & Mueller, Elisabeth & Sandner, Philipp, 2012. "What makes Chinese firms productive? Learning from indigenous and foreign sources of knowledge," Frankfurt School - Working Paper Series 196, Frankfurt School of Finance and Management.
- Marcos Escobar & Peter Hieber & Matthias Scherer, 2014. "Efficiently pricing double barrier derivatives in stochastic volatility models," Review of Derivatives Research, Springer, vol. 17(2), pages 191-216, July.
- Arismendi, Juan C. & Back, Janis & Prokopczuk, Marcel & Paschke, Raphael & Rudolf, Markus, 2016.
"Seasonal Stochastic Volatility: Implications for the pricing of commodity options,"
Journal of Banking & Finance,
Elsevier, vol. 66(C), pages 53-65.
- Janis Back & Marcel Prokopczuk & Markus Rudolf, 2011. "Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options," ICMA Centre Discussion Papers in Finance icma-dp2011-16, Henley Business School, Reading University.
- Susanne Griebsch & Uwe Wystup, 2011.
"On the valuation of fader and discrete barrier options in Heston's stochastic volatility model,"
Quantitative Finance,
Taylor & Francis Journals, vol. 11(5), pages 693-709.
- Griebsch, Susanne & Wystup, Uwe, 2008. "On the valuation of fader and discrete barrier options in Heston's Stochastic Volatility Model," CPQF Working Paper Series 17, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF).
- Yuri F. Saporito & Xu Yang & Jorge P. Zubelli, 2017. "The Calibration of Stochastic-Local Volatility Models - An Inverse Problem Perspective," Papers 1711.03023, arXiv.org.
- Alexander Libman & Vladimir Kozlov & André Schultz, 2012.
"Roving Bandits in Action: Outside Option and Governmental Predation in Autocracies,"
Kyklos,
Wiley Blackwell, vol. 65(4), pages 526-562, November.
- Libman, Alexander & Kozlov, Vladimir & Schultz, André, 2012. "Roving bandits in action: Outside option and governmental predation in autocracies," Frankfurt School - Working Paper Series 190, Frankfurt School of Finance and Management.
- Yu, Xiaofan, 2011. "A spatial interpretation of the persistency of China's provincial inequality," Frankfurt School - Working Paper Series 171, Frankfurt School of Finance and Management.
- Mascagni Michael & Qiu Yue & Hin Lin-Yee, 2014. "High performance computing in quantitative finance: A review from the pseudo-random number generator perspective," Monte Carlo Methods and Applications, De Gruyter, vol. 20(2), pages 101-120, June.
- Manfred Gilli & Enrico Schumann, 2010. "Calibrating Option Pricing Models with Heuristics," Working Papers 030, COMISEF.
- Böing, Philipp & Müller, Elisabeth, 2012. "Technological Capabilities of Chinese Enterprises: Who is Going to Compete Abroad?," Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62081, Verein für Socialpolitik / German Economic Association.
More about this item
Keywords
Stochastic Volatility Models; Calibration; Numerical Integration; Fast Fourier Transform;JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ALL-2007-05-12 (All new papers)
- NEP-CFN-2007-05-12 (Corporate Finance)
- NEP-ETS-2007-05-12 (Econometric Time Series)
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