Calibration the drift term of Jump-Diffusion Option Pricing Model
Abdelilah Jraifi
Broschiertes Buch

Calibration the drift term of Jump-Diffusion Option Pricing Model

Tikhonov Regularization Approach

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The book introduces a finance calibration issue, aiming to determine model parameters using observed option prices. It delves into using intricate models like multi-dimensional jump diffusion with stochastic volatility to price European and Quanto options. Several numerical techniques-integro-differential stochastic equations, finite elements, Monte Carlo, and Quasi Monte Carlo methods-are examined for pricing. The Tikhonov regularization method is proposed to solve the calibration problem by converting it into an inverse problem of partial differential equations, solvable via numerical method...