کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5098180 1478681 2016 16 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Calibration of stochastic volatility models: A Tikhonov regularization approach
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات کنترل و بهینه سازی
پیش نمایش صفحه اول مقاله
Calibration of stochastic volatility models: A Tikhonov regularization approach
چکیده انگلیسی
We aim to calibrate stochastic volatility models from option prices. We develop a Tikhonov regularization approach with an efficient numerical algorithm to recover the risk neutral drift term of the volatility (or variance) process. In contrast to most existing literature, we do not assume that the drift term has any special structure. As such, our algorithm applies to calibration of general stochastic volatility models. An extensive numerical analysis is presented to demonstrate the efficiency of our approach. Interestingly, our empirical study reveals that the risk neutral variance processes recovered from market prices of options on S&P 500 index and EUR/USD exchange rate are indeed linearly mean-reverting.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 64, March 2016, Pages 66-81
نویسندگان
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