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Titel:

Complexity reduction for calibration to American options

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Burkovska, O.; Glau, K.; Mahlstedt, M.; Wohlmuth, B.
Nicht-TUM Koautoren:
nein
Kooperation:
-
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
Zeitschriftentitel:
Journal of Computational Finance
Journal gelistet in FT50 Ranking:
nein
Jahr:
2019
Band / Volume:
23
Heft / Issue:
1
Seitenangaben Beitrag:
25-60
Sprache:
en
Volltext / DOI:
doi:10.21314/JCF.2019.367
WWW:
https://arxiv.org/abs/1611.06452
Status:
Preprint / submitted
TUM Einrichtung:
Lehrstuhl für Finanzmathematik
Urteilsbesprechung:
0
Key publication:
Nein
Peer reviewed:
Ja
commissioned:
not commissioned
Technology:
Nein
Interdisziplinarität:
Nein
Leitbild:
;
Ethics und Sustainability:
Nein
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