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Title:

Complexity reduction for calibration to American options

Document type:
Zeitschriftenaufsatz
Author(s):
Burkovska, O.; Glau, K.; Mahlstedt, M.; Wohlmuth, B.
Non-TUM Co-author(s):
nein
Cooperation:
-
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:
1
Pages contribution:
25-60
Language:
en
Fulltext / DOI:
doi:10.21314/JCF.2019.367
WWW:
https://arxiv.org/abs/1611.06452
Status:
Preprint / submitted
TUM Institution:
Lehrstuhl für Finanzmathematik
Judgement review:
0
Key publication:
Nein
Peer reviewed:
Ja
Commissioned:
not commissioned
Technology:
Nein
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
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