NONPARAMETRIC MODEL CALIBRATION FOR DERIVATIVES - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2016

NONPARAMETRIC MODEL CALIBRATION FOR DERIVATIVES

Résumé

Consistently fitting vanilla option surfaces is an important issue in derivative modelling. In this paper, we consider three different models: local and stochastic volatility, local correlation, hybrid local volatility with stochastic rates, and address their exact, nonparametric calibration. This calibration process requires solving a nonlinear partial integro-differential equation. A modified alternating direction implicit algorithm is used, and its theoretical and numerical analysis is performed.
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Dates et versions

hal-01399542 , version 1 (19-11-2016)
hal-01399542 , version 2 (17-01-2018)

Identifiants

  • HAL Id : hal-01399542 , version 1

Citer

Frédéric Abergel, Rémi Tachet, Riadh Zaatour. NONPARAMETRIC MODEL CALIBRATION FOR DERIVATIVES. 2016. ⟨hal-01399542v1⟩
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