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dc.contributor.authorTurinici, Gabriel
dc.date.accessioned2009-06-23T10:09:02Z
dc.date.available2009-06-23T10:09:02Z
dc.date.issued2008
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/396
dc.language.isoenen
dc.subjectlocal volatilityen
dc.subjectcalibrationen
dc.subjectadjointen
dc.subjectDupire formulaen
dc.subjectimplied volatilityen
dc.subject.ddc519
dc.titleLocal volatility calibration using an adjoint proxyen
dc.typeArticle accepté pour publication ou publiéen_US
dc.description.abstractenWe 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.isversionofjnlnameReview of Economic and Business Studies
dc.relation.isversionofjnlvol2en
dc.relation.isversionofjnldate2008-12
dc.relation.isversionofjnlpages1en
dc.identifier.urlsitehttp://hal.archives-ouvertes.fr/hal-00306187/en/en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherEditura Universităţii "Al.I. Cuzaen
dc.subject.ddclabelProbabilités et mathématiques appliquéesen


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