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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
1

Regularized Calibration of Jump-Diffusion Option Pricing Models

Nassar, Hiba January 2010 (has links)
An important issue in finance is model calibration. The calibration problem is the inverse of the option pricing problem. Calibration is performed on a set of option prices generated from a given exponential L´evy model. By numerical examples, it is shown that the usual formulation of the inverse problem via Non-linear Least Squares is an ill-posed problem. To achieve well-posedness of the problem, some regularization is needed. Therefore a regularization method based on relative entropy is applied.

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