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Document type:
Zeitschriftenaufsatz 
Author(s):
Burkovska, O.; Glau, K.; Mahlstedt, M.; Wohlmuth, B. 
Non-TUM Co-author(s):
nein 
Cooperation:
Title:
Complexity reduction for calibration to American options 
Abstract:
American put options are among the most frequently traded single stock options, and their calibration is computationally challenging since no closed-form expression is available. Due to the higher flexibility in comparison to European options, the mathematical model involves additional constraints, and a variational inequality is obtained. We use the Heston stochastic volatility model to describe the price of a single stock option. In order to speed up the calibration process, we apply two model...    »
 
Intellectual Contribution:
Discipline-based Research 
Journal title:
Journal of Computational Finance 
Journal listet in FT50 ranking:
nein 
Year:
2019 
Journal volume:
23 
Journal issue:
Pages contribution:
25-60 
Language:
en 
Fulltext / DOI:
Status:
Preprint / submitted 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Key publication:
Nein 
Peer reviewed:
Ja 
Commissioned:
not commissioned 
Technology:
Nein 
Interdisciplinarity:
Nein 
Mission statement:
Ethics and Sustainability:
Nein 
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