Date
2009
Lien vers un document non conservé dans cette base
http://hal.archives-ouvertes.fr/hal-00338114/en/
Indexation documentaire
Probabilités et mathématiques appliquées
Subject
implied volatility; local volatility; calibration; implied variance; instantaneous implied variance; instantaneous local variance; adjoint; Dupire formula
Nom de la revue
Journal of Computational Finance
Volume
13
Numéro
2
Date de publication
2009
Nom de l'éditeur
Incisive Financial Publishing ltd
Type
Article accepté pour publication ou publié
Résumé en anglais
We document the calibration of the local volatility in terms of local and implied instantaneous variances; we first explore the theoretical properties of the method for a particular class of volatilities. We confirm the theoretical results through a numerical procedure which uses a Gauss-Newton style approximation of the Hessian in the framework of a sequential quadratic programming (SQP) approach. The procedure performs well on benchmarks from the literature and on FOREX data.
