Calibration of Jump-Diffusion Option Pricing Models: A Robust Non-Parametric Approach
نویسندگان
چکیده
منابع مشابه
Calibration of jump-diffusion option-pricing models: a robust non-parametric approach.∗
We present a non-parametric method for calibrating jump-diffusion models to a finite set of observed option prices. We show that the usual formulations of the inverse problem via nonlinear least squares are illposed and propose a regularization method based on relative entropy: we reformulate our calibration problem into a problem of finding a risk neutral jump-diffusion model that reproduces t...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2002
ISSN: 1556-5068
DOI: 10.2139/ssrn.332400