| dc.contributor.author | Turinici, Gabriel | |
| dc.date.accessioned | 2009-06-23T10:09:02Z | |
| dc.date.available | 2009-06-23T10:09:02Z | |
| dc.date.issued | 2008 | |
| dc.identifier.uri | https://basepub.dauphine.fr/handle/123456789/396 | |
| dc.language.iso | en | en |
| dc.subject | local volatility | en |
| dc.subject | calibration | en |
| dc.subject | adjoint | en |
| dc.subject | Dupire formula | en |
| dc.subject | implied volatility | en |
| dc.subject.ddc | 519 | |
| dc.title | Local volatility calibration using an adjoint proxy | en |
| dc.type | Article accepté pour publication ou publié | en_US |
| dc.description.abstracten | We document the calibration of the local volatility in a frame- work similar to Coleman, Li and Verma. The quality of a surface is assessed through a functional to be optimized; the specificity of the approach is to separate the optimization (performed with any suitable optimization algorithm) from the computation of the functional where we use an adjoint (as in L. Jiang et. al.) to obtain an approximation; moreover our main calibration variable is the implied volatility (the procedure can also accommodate the Greeks). The procedure per- forms well on benchmarks from the literature and on FOREX data. | en |
| dc.relation.isversionofjnlname | Review of Economic and Business Studies | |
| dc.relation.isversionofjnlvol | 2 | en |
| dc.relation.isversionofjnldate | 2008-12 | |
| dc.relation.isversionofjnlpages | 1 | en |
| dc.identifier.urlsite | http://hal.archives-ouvertes.fr/hal-00306187/en/ | en |
| dc.description.sponsorshipprivate | oui | en |
| dc.relation.isversionofjnlpublisher | Editura Universităţii "Al.I. Cuza | en |
| dc.subject.ddclabel | Probabilités et mathématiques appliquées | en |
